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Properties of the QME under asymmetrically distributed disturbances

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  • Laitila, Thomas
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    Abstract

    The quadratic mode regression estimator has been suggested for truncated regression models where symmetry characterizes the distribution of disturbances. In this paper the estimator is shown to be consistent and asymptotically normal distributed under asymmetrically distributed disturbances.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 52 (2001)
    Issue (Month): 4 (May)
    Pages: 347-352

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    Handle: RePEc:eee:stapro:v:52:y:2001:i:4:p:347-352

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    Related research

    Keywords: Truncation Regression Semiparametric Consistency Asymptotic distribution;

    References

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    1. White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-46, April.
    2. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November.
    3. Lee, Myoung-jae, 1989. "Mode regression," Journal of Econometrics, Elsevier, vol. 42(3), pages 337-349, November.
    4. Lee, M.J., 1990. "Quadratic Mode Regression," Papers 9-90-10, Pennsylvania State - Department of Economics.
    5. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
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