Jun, Sung Jae; Pinkse, Joris; Wan, Yuanyuan - In: Journal of Multivariate Analysis 102 (2011) 4, pp. 828-846
We propose a new robust estimator of the regression coefficients in a linear regression model. The proposed estimator is the only robust estimator based on integration rather than optimization. It allows for dependence between errors and regressors, is -consistent, and asymptotically normal....