IDEAS home Printed from https://ideas.repec.org/p/cqe/wpaper/10924.html
   My bibliography  Save this paper

Accounting for Asymmetry in M-Estimation

Author

Listed:
  • Manuel Stapper

Abstract

Standard M-Estimation techniques are biased if an asymmetric distribution is assumed. This article proposes a novel approach that uses an adaptive asymmetric loss function to tackle the bias. Its consistency and asymptotic normality are proven. The robustness properties are assessed in a simulation study showing similar performance compared to existing approaches. Its versatility is demonstrated in three applications to time series data, an instrumental regression and a classification task.

Suggested Citation

  • Manuel Stapper, 2024. "Accounting for Asymmetry in M-Estimation," CQE Working Papers 10924, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:10924
    as

    Download full text from publisher

    File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/cqe_wp_109_2024.pdf
    File Function: Version of October 2024
    Download Restriction: no
    ---><---

    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:cqe:wpaper:10924. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Susanne Deckwitz (email available below). General contact details of provider: https://edirc.repec.org/data/cqmuede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.