U-Estimators of Regression Coefficients

For the regression model yi = x'i[xi] + ei, 1 <= i <= n, with i.i.d. residuals {ei}, we introduce the estimator of [xi] which zeros the weighted U-statistic [summation operator][summation operator] qijK(êi, êj), where qij is a score vector for regression vectors xi and xj. These include some M- and R-estimators. Asymptotic inference is developed without the need to estimate the ([latin small letter f with hook]'/[latin small letter f with hook]) function, where [latin small letter f with hook] is the pdf of the residuals.