Properties of the QME under asymmetrically distributed disturbances
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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Volume (Year): 52 (2001)
Issue (Month): 4 (May)
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References listed on IDEAS
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- Lee, Myoung-jae, 1989. "Mode regression," Journal of Econometrics, Elsevier, vol. 42(3), pages 337-349, November.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
- White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-46, April.
- Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November.
- Lee, M.J., 1990.
"Quadratic Mode Regression,"
9-90-10, Pennsylvania State - Department of Economics.
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