On the asymptotic behavior of one-step estimates in heteroscedastic regression models

The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates defined as the solution of an implicit equation, such as the MM-estimates.

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Year of publication:	2002
Authors:	Bianco, Ana ; Boente, Graciela
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 1, p. 33-47
Publisher:	Elsevier
Keywords:	Heteroscedasticity Robust estimation One-step estimates Asymptotic properties

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223002