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Properties of the QME under asymmetrically distributed disturbances

  • Laitila, Thomas
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    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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-435KK11-2/2/6c1698442e027bab91fe399161beae1b
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    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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    1. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November.
    2. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
    3. Lee, M.J., 1990. "Quadratic Mode Regression," Papers 9-90-10, Pennsylvania State - Department of Economics.
    4. Lee, Myoung-jae, 1989. "Mode regression," Journal of Econometrics, Elsevier, vol. 42(3), pages 337-349, November.
    5. White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-46, April.
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