Asymmetric Least Squares Estimation and Testing.
This paper considers estimation and testing using location measures for regression m odels that are based on an asymmetric least-squares criterion functio n. These estimators have properties that are analogous to regression quantiles, but are easier to calculate, as are the corresponding test statistics. Asymmetric least-squares tests of homoskedasticity and s ymmetry compare quite favorably with other tests of these hypotheses in terms of asymptotic relative efficiency. Consequently, asymmetric least-squares estimation provides a convenient and relatively efficie nt method of characterizing the conditional distributi on of a dependent variable given some regressors. Copyright 1987 by The Econometric Society.
Year of publication: |
1987
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Authors: | Newey, Whitney K ; Powell, James L |
Published in: |
Econometrica. - Econometric Society. - Vol. 55.1987, 4, p. 819-47
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Publisher: |
Econometric Society |
Saved in:
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