The weighted least absolute deviation (WLAD) regression estimation method and the adaptive least absolute shrinkage and selection operator (LASSO) are combined to achieve robust parameter estimation and variable selection in regression simultaneously. Compared with the LAD-LASSO method, the...

A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each point M-estimators over different local...

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...