Komorova, Tatiana; Severini, Thomas; Tamer, Elie - Suntory and Toyota International Centres for Economics … - 2010
We introduce a notion of median uncorrelation that is a natural extension of mean(linear) uncorrelation. A scalar random variable Y is median uncorrelated with a kdimensionalrandom vector X if and only if the slope from an LAD regression of Yon X is zero. Using this simple definition, we...