Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions

Donald Andrews () and Peter Phillips

No 786, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We first show that the Generalized Least Squares estimator is the best median unbiased estimator of the regression parameters for quite general loss functions, when the parameter space is unrestricted. Of note is the fact that this result holds without moment restrictions. Thus, the errors may have multivariate Cauchy distribution. Next, we show that a restricted GLS estimator is best median unbiased for a linear combination of the regression parameters, when that linear combination is restricted to lie in an interval. Certain other linear combinations of the parameter vector may be subject to arbitrary additional restrictions. The paper then presents best median unbiased estimators of the error variance sigma-squared, as well as monotone functions of sigma-squared, when the errors are normally distributed. If sigma-squared is constrained to lie in a finite interval, the best estimator is a censored version of its unconstrained counterpart. When sigma-square is constrained only to be positive, the best median unbiased estimator is always larger than the best mean unbiased estimator s-squared, and is approximately equal to s-squared calculated with its degrees of freedom reduced by .66.

Keywords: Keywords: Generalized least squares; elliptically symmetric distribution; restricted parameter space; minimum risk; variance; estimation (search for similar items in EconPapers)
Pages: 28 pages
Date: 1986-03
Note: CFP 690.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Journal of the American Statistical Association (September 1987), 82(399): 886-893

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d07/d0786.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:786

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().