Bootstrapping in least absolute value regression: an application to hypothesis testing |
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| Authors: | Terry E Dielman Roger C Pfaffenberger |
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| Institution: | Taxas Christian University , Fort Worth, Texas, 76129 |
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| Abstract: | A Monte Carlo simulation is used to study the performance of hypothesis tests for regression coefficients when least absolute value regression methods are used. In small samples, the results of the simulation suggest that using the bootstrap method to compute standard errors will provide improved test performance |
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| Keywords: | L1-norm estimation bootstrap |
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