A LAD Regression Under Non-Standard Conditions

Alan Rogers

No 215, Working Papers from Department of Economics, The University of Auckland

Abstract: Most work on the asymptotic properties of least absolute deviations (LAD) estimators makes use of the assumption that the common distribution of the disturbances has a density which is finite and positive at zero. We consider the implications of weakening this assumption in a regression setting. We see that the results obtained are similar in flavor to those obtained in a least squares context when the disturbance variance is allowed to be infinite: both the shape of the limiting distribution and the rate of convergence to it is affected in reasonably simple and intuitive ways. As well as conventional regression models we outline results for some simple autoregressive models which may have a unit root and/or infinite error variance.

Keywords: Least absolute deviations; Economics (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:auc:wpaper:215

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