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A Shortcut to LAD EstimatorAsymptotics

Published online by Cambridge University Press:  11 February 2009

P.C.B. Phillips
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Abstract

Using generalized functions of random variables andgeneralized Taylor series expansions, we providequick demonstrations of the asymptotic theory forthe LAD estimator in a regression model setting. Theapproach is justified by the smoothing that isdelivered in the limit by the asymptotics, wherebythe generalized functions are forced to appear aslinear functionals wherein they become real valued.Models with fixed and random regressors, andautoregressions with infinite variance errors arestudied. Some new analytic results are obtainedincluding an asymptotic expansion of thedistribution of the LAD estimator.

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Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 4 , December 1991, pp. 450 - 463
Copyright
Copyright © Cambridge University Press 1991

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