IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v11y1995i03p403-436_00.html
   My bibliography  Save this article

Least Absolute Deviation Estimation of a Shift

Author

Listed:
  • Bai, Jushan

Abstract

This paper develops the asymptotic theory for least absolute deviation estimation of a shift in linear regressions. Rates of convergence and asymptotic distributions for the estimated regression parameters and the estimated shift point are derived. The asymptotic theory is developed both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. Asymptotic distributions are also obtained for trending regressors and for dependent disturbances. The analysis is carried out in the framework of partial structural change, allowing some parameters not to be influenced by the shift. Efficiency relative to least-squares estimation is also discussed. Monte Carlo analysis is performed to assess how informative the asymptotic distributions are.

Suggested Citation

  • Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
  • Handle: RePEc:cup:etheor:v:11:y:1995:i:03:p:403-436_00
    as

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S026646660000935X
    File Function: link to article abstract page
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:11:y:1995:i:03:p:403-436_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.