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Bounded Influence Regression in the Presence of Heteroskedasticity of Unknown Form

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URI: https://hdl.handle.net/10016/2497
ISBN: 0792312260
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bounded_delgado_1991_ps.pdf (484.73 KB)
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1991
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Kluwer
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Abstract
In a regression model with conditional heteroskedasticity of unknown form, we propose a general class of M-estimators scaled by nonparametric estimates of the conditional standard deviations of the dependent variable. We give regularity conditions under which these estimators are asymptotically equivalent to M-estimators scaled by the true conditional standard deviations. The practical performance of these estimators is investigated through a Monte Carlo experiment.
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Estadística no paramétrica, Estimación de parámetros
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Roussas, G.(ed). Nonparametric functional estimation and related topics. Boston: Kluwer Publishers, 1991. p. 297-314
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Economists Online