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Pearson M-Estimators in Regression Analysis

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  • Magdalinos, M.A.
  • Mitsopoulos, G.P.
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    Abstract

    This paper derives and adaptive partial solution for the maximum likelihood normal equations of a regression, under the assumption that the errors belong to the Pearson family. This estimator can be "robustified" producing a M-estimator with satisfactory efficiency for a wider range of error distributions. Monte-Carlo evidence on the finite sample properties of the estimates is reported. The computational requirements are very modest: all the proposed improvements can be computed with the help of an auxilliary regression.

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    Bibliographic Info

    Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9517.

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    Length: 19 pages
    Date of creation: 1995
    Date of revision:
    Handle: RePEc:exe:wpaper:9517

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    Web page: http://business-school.exeter.ac.uk/about/departments/economics/
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    Keywords: ECONOMETRICS;

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