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Asymptotics for L 1 ‐estimators of regression parameters under heteroscedasticityY
Author(s) -
Knight Keith
Publication year - 1999
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3316107
Subject(s) - heteroscedasticity , estimator , asymptotic distribution , mathematics , limiting , linear regression , statistics , regression , regression analysis , asymptotic analysis , distribution (mathematics) , econometrics , mathematical analysis , engineering , mechanical engineering
Abstract We consider the asymptotic behaviour of L 1 ‐estimators in a linear regression under a very general form of heteroscedasticity. The limiting distributions of the estimators are derived under standard conditions on the design. We also consider the asymptotic behaviour of the bootstrap in the heteroscedastic model and show that it is consistent to first order only if the limiting distribution is normal.