On necessary conditions for the weak consistency of minimum L1-norm estimates in linear models

Consider the model yi = x'i[beta]0 + ei, I = 1,...,n. Under very weak conditions on the error distributions, it is shown that is a necessary conditions for the weak consistency of a minimum L1-norm estimate of [beta]0, which cannot be further improved.

MoreLess

Year of publication:	1997
Authors:	Bai, Z. D. ; Wu, Y.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 34.1997, 2, p. 193-199
Publisher:	Elsevier
Keywords:	Minimum L1 norm estimate Weak consistency Linear regression model Necessary condition

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005313868