Bootstrap methods for median regression models.
The least-absolute-deviations (LAD) estimator for a median-regression model does not satisfy the standard conditions for obtaining asymptotic refinements through use of the bootstrap because the LAD objective function is not smooth. This paper overcomes this problem by smoothing the objective funct...
| Publicado en: | Econometrica Vol. 66; no. 6; pp. 1327 - 1352 |
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| Formato: | Artículo |
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Wiley-Blackwell
November 1998
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512724526&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512724526 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: November 1998 vid: 66 iid: 6 pid: 480 pub: Wiley-Blackwell artinfo: ui: 512724526 10.2307/2999619 ppf: 1327 ppct: 25 formats: tig: atl: Bootstrap methods for median regression models. aug: au: Horowitz, Joel L. su: Asymptotic expansions Statistical hypothesis testing Statistical bootstrapping Regression analysis Statistical smoothing sug: subj: Asymptotic expansions Statistical hypothesis testing Statistical bootstrapping Regression analysis Statistical smoothing ab: The least-absolute-deviations (LAD) estimator for a median-regression model does not satisfy the standard conditions for obtaining asymptotic refinements through use of the bootstrap because the LAD objective function is not smooth. This paper overcomes this problem by smoothing the objective function. The smoothed estimator is asymptotically equivalent to the standard LAD estimator. With bootstrap critical values, the rejection probabilities of symmetrical t and x2 tests based on the smoothed estimator are correct through O(n-y) under the null hypothesis, where y < 1 but can be arbitrarily close to 1. In contrast, first-order asymptotic approximations make errors of size O(n-y). These results also hold for symmetrical t and x2 tests for censored median regression models. Reprinted by permission of the Econometric Society. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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