L1-estimation in linear models with heterogeneous white noise

Faouzi El Bantli and Marc Hallin

Statistics & Probability Letters, 1999, vol. 45, issue 4, 305-315

Abstract: Necessary and sufficient conditions are given for the consistency of the L1-estimator of the regression parameter [beta] in linear models with independent but possibly nonidentically distributed errors. The heteroscedastic case is treated as a particular case. The asymptotic normality of is also established, under assumptions which are weaker than in related results on the asymptotics of the sample median in heteroscedastic location models.

Keywords: L1-estimation; Heterogeneity; Heteroscedasticity; Linear; model (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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