A simple approximation of the sampling distribution of least absolute residuals regression estimates
- 1 January 1977
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 6 (4) , 421-437
- https://doi.org/10.1080/03610917708812055
Abstract
For multivariate regression with a symmetric disturbance distribution, the error in the least absolute residuals estimator is approximately multivariate normally distributed with mean zero and variance matrix λ2(X′X)−1, where X is the matrix of K explanatory variables and T observations, and λ 2/T is the variance of the median of a sample of size T from the disturbance distribution. The approximate sampling theory is validated by extensive Monte Carlo studies, and some directions of possible refinement emerge.Keywords
This publication has 1 reference indexed in Scilit:
- The Method of Least Squares and Some Alternatives: Part VInternational Statistical Review, 1975