IDEAS home Printed from https://ideas.repec.org/p/ulb/ulbeco/2013-2083.html
   My bibliography  Save this paper

L1-estimation in linear models with heterogeneous white noise

Author

Listed:
  • Marc Hallin
  • Faouzi El Bantli

Abstract

Necessary and sufficient conditions are given for the consistency of the L1-estimator of the regression parameter [beta] in linear models with independent but possibly nonidentically distributed errors. The heteroscedastic case is treated as a particular case. The asymptotic normality of is also established, under assumptions which are weaker than in related results on the asymptotics of the sample median in heteroscedastic location models.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Marc Hallin & Faouzi El Bantli, 1999. "L1-estimation in linear models with heterogeneous white noise," ULB Institutional Repository 2013/2083, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:ulb:ulbeco:2013/2083
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Liese, F. & Vajda, I., 1994. "Consistency of M-Estimates in General Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 93-114, July.
    2. Marc Hallin & Ivan Mizera, 2001. "Sample heterogeneity and the asymptotics of M-estimators," ULB Institutional Repository 2013/2103, ULB -- Universite Libre de Bruxelles.
    3. Marc Hallin & Ivan Mizera, 1997. "Unimodality and the asymptotics of M-estimators," ULB Institutional Repository 2013/2217, ULB -- Universite Libre de Bruxelles.
    4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    5. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. √Člise, COUDIN & Jean-Marie DUFOUR, 2017. "Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors," Cahiers de recherche 01-2017, Centre interuniversitaire de recherche en √©conomie quantitative, CIREQ.
    2. Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.

    More about this item

    JEL classification:

    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:ulb:ulbeco:2013/2083. 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: (Benoit Pauwels). General contact details of provider: http://edirc.repec.org/data/ecsulbe.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.