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Estimating the variance of the LAD regression coefficients

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  • Furno, Marilena

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  • Furno, Marilena, 1998. "Estimating the variance of the LAD regression coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 11-26, March.
    • Handle: RePEc:eee:csdana:v:27:y:1998:i:1:p:11-26
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    References listed on IDEAS

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    3. Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
    4. Tableman, Mara, 1994. "The asymptotics of the least trimmed absolute deviations (LTAD) estimator," Statistics & Probability Letters, Elsevier, vol. 19(5), pages 387-398, April.
    5. Oja, Hannu, 1983. "Descriptive statistics for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 1(6), pages 327-332, October.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Arnab Maity & Michael Sherman, 2008. "On adaptive linear regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(12), pages 1409-1422.

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