On necessary conditions for the weak consistency of minimum L1-norm estimates in linear models

Z. D. Bai and Y. Wu

Statistics & Probability Letters, 1997, vol. 34, issue 2, 193-199

Abstract: Consider the model yi = x'i[beta]0 + ei, I = 1,...,n. Under very weak conditions on the error distributions, it is shown that is a necessary conditions for the weak consistency of a minimum L1-norm estimate of [beta]0, which cannot be further improved.

Keywords: Minimum; L1; norm; estimate; Weak; consistency; Linear; regression; model; Necessary; condition (search for similar items in EconPapers)
Date: 1997
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