On the asymptotic behavior of one-step estimates in heteroscedastic regression models

Ana Bianco and Graciela Boente

Statistics & Probability Letters, 2002, vol. 60, issue 1, 33-47

Abstract: The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates defined as the solution of an implicit equation, such as the MM-estimates.

Keywords: Heteroscedasticity; Robust; estimation; One-step; estimates; Asymptotic; properties (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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