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Asymmetric Least Squares Estimation and Testing

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  • Newey, Whitney K
  • Powell, James L

Abstract

This paper considers estimation and testing using location measures for regression m odels that are based on an asymmetric least-squares criterion functio n. These estimators have properties that are analogous to regression quantiles, but are easier to calculate, as are the corresponding test statistics. Asymmetric least-squares tests of homoskedasticity and s ymmetry compare quite favorably with other tests of these hypotheses in terms of asymptotic relative efficiency. Consequently, asymmetric least-squares estimation provides a convenient and relatively efficie nt method of characterizing the conditional distributi on of a dependent variable given some regressors. Copyright 1987 by The Econometric Society.

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  • Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
  • Handle: RePEc:ecm:emetrp:v:55:y:1987:i:4:p:819-47
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    8. Jeroen Suijs, 1996. "On incentive compatibility and budget balancedness in public decision making," Review of Economic Design, Springer;Society for Economic Design, vol. 2(1), pages 193-209, December.
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