Pearson M-Estimators in Regression Analysis

M.A. Magdalinos and G.P. Mitsopoulos

Discussion Papers from University of Exeter, Department of Economics

Abstract: This paper derives and adaptive partial solution for the maximum likelihood normal equations of a regression, under the assumption that the errors belong to the Pearson family. This estimator can be "robustified" producing a M-estimator with satisfactory efficiency for a wider range of error distributions. Monte-Carlo evidence on the finite sample properties of the estimates is reported. The computational requirements are very modest: all the proposed improvements can be computed with the help of an auxilliary regression.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9517

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