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Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach

In the case of regression models, one robust estimation procedure which has recently emerged is that of functional least squares. The procedure is based on the use of characteristic functions for which the tail behavior is relected by the behavior of these functions at the origin. Its attraction is that it is applicable to situations where the distribution of the disturbances may be long-tailed and/or asymmetric.
Year of publication:
1986
Authors: Welsh, A. H. ; Nicholls, D. F.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 2.1986, 01, p. 132-150
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008739408
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