Regression by Minimum Sum of Absolute Errors : Some Results

In the multiple regression model y= xƒÒ + ƒÕ, the coefficient vector ƒÒ may be estimated by minimizing the sum of absolute errors (MSAE). This papers shows the following results under MSAE estimation: (1) If k coefficient ƒÒj are nonzeros, then the estimated regression equation accurately predicts at least k observations; (2) As in the case of least squares regression, ƒÒ has an infinite number of estimates in the presence of perfect multicollinearity.

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Year of publication:	1983-04
Authors:	Danao, Rolando A.
Institutions:	School of Economics, University of the Philippines at Diliman

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Series:	UP School of Economics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Published as UPSE Discussion Paper No. 1983-04, April 1983 Number 198304
Source:	RePEc - Research Papers in Economics

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