Asymptotics for L 1 ‐estimators of regression parameters under heteroscedasticityY

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.