A simple approximation of the sampling distribution of least absolute residuals regression estimates |
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| Authors: | Barr Rosenberg Daryl Carlson |
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| Institution: | 1. School of Business Administration , University of California , Berkeley;2. Division of Business Administration , California State College , Stanislaus |
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| Abstract: | For multivariate regression with a symmetric disturbance distribution, the error in the least absolute residuals estimator is approximately multivariate normally distributed with mean zero and variance matrix λ2(X′X)?1, where X is the matrix of K explanatory variables and T observations, and λ 2/T is the variance of the median of a sample of size T from the disturbance distribution. The approximate sampling theory is validated by extensive Monte Carlo studies, and some directions of possible refinement emerge. |
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| Keywords: | Monte Carlo experiments distribution of median |
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