Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
Year of publication: |
2011-02-01
|
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Authors: | Coudin, Elise ; Dufour, Jean-Marie |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | sign test | median regression | Hodges-Lehmann estimator | p-value | least absolute deviations | quantile regression | simultaneous inference | Monte Carlo tests | projection methods | nonnormality | heteroskedasticity | serial dependence | GARCH | stochastic volatility |
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