Regression by Minimum Sum of Absolute Errors: Some Results

Rolando Danao
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Rolando Danao: School of Economics, University of the Philippines Diliman

No 198304, UP School of Economics Discussion Papers from University of the Philippines School of Economics

Abstract: In the multiple regression model y= xƒÒ + ƒÕ, the coefficient vector ƒÒ may be estimated by minimizing the sum of absolute errors (MSAE). This papers shows the following results under MSAE estimation: (1) If k coefficient ƒÒj are nonzeros, then the estimated regression equation accurately predicts at least k observations; (2) As in the case of least squares regression, ƒÒ has an infinite number of estimates in the presence of perfect multicollinearity.

Date: 1983-04
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Published as UPSE Discussion Paper No. 1983-04, April 1983

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