Properties of the QME under asymmetrically distributed disturbances

Thomas Laitila

Statistics & Probability Letters, 2001, vol. 52, issue 4, 347-352

Abstract: The quadratic mode regression estimator has been suggested for truncated regression models where symmetry characterizes the distribution of disturbances. In this paper the estimator is shown to be consistent and asymptotically normal distributed under asymmetrically distributed disturbances.

Keywords: Truncation; Regression; Semiparametric; Consistency; Asymptotic; distribution (search for similar items in EconPapers)
Date: 2001
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