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Generalized and pseudo-generalized trimmed means for the linear regression with AR(1) error model

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  • Lai, Yi-Hsuan
  • Thompson, Peter
  • Chen, Lin-An

Abstract

We propose a generalized and pseudo-generalized trimmed means for the linear regression with AR(1) errors model. These will play the role of robust-type generalized and pseudo-generalized estimators for this regression model. Their asymptotic distributions are developed.

Suggested Citation

  • Lai, Yi-Hsuan & Thompson, Peter & Chen, Lin-An, 2004. "Generalized and pseudo-generalized trimmed means for the linear regression with AR(1) error model," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 203-211, April.
    • Handle: RePEc:eee:stapro:v:67:y:2004:i:3:p:203-211
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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.
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