Gini regressions and heteroskedasticity

We propose an Aitken estimator for Gini regression. The suggested A -Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test is proposed and shows that a better power is obtained compared with the usual White test when outlying observations contaminate the data.

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Year of publication:	2019
Authors:	Charpentier, Arthur ; Ka, Ndéné ; Mussard, Stéphane ; Ndiaye, Oumar Hamady
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 1, p. 1-16
Publisher:	Basel : MDPI
Subject:	Gini \| heteroskedasticity \| jackknife \| U-statistics

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics7010004 [DOI] 1668933411 [GVK] hdl:10419/247504 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10012696219