| Автор | Weiss, Andrew A. |
| Дата выпуска | 1988 |
| dc.description | In a linear-regression model with heteroscedastic errors, we consider two tests: a Hausman test comparing the ordinary least squares (OLS) and least absolute error (LAE) estimators and a test based on the signs of the errors from OLS. It turns out that these are related by the well-known equivalence between Hausman and the generalized method of moments tests. Particular cases, including homoscedasticity and asymmetry in the errors, are discussed. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © Cambridge University Press 1988 |
| Название | A Comparison of Ordinary Least Squares and Least Absolute Error Estimation |
| Тип | other |
| DOI | 10.1017/S0266466600013438 |
| Electronic ISSN | 1469-4360 |
| Print ISSN | 0266-4666 |
| Журнал | Econometric Theory |
| Том | 4 |
| Первая страница | 517 |
| Последняя страница | 527 |
| Аффилиация | Weiss Andrew A.; University of Southern California |
| Выпуск | 3 |
