One-step R-estimation in linear models with stable errors

DOI10.1016/J.JECONOM.2012.08.016MaRDI QIDQ6826778zbMATH OpenFDO

Authors Marc Hallin, Yvik Swan, Thomas Verdebout, David Veredas

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S030440761200200X

zbMATH Keywords

asymptotic relative efficiencyLAD estimationlocal asymptotic normalityR-estimationstable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

Cited in

(2)

• Marc Hallin: a commented bibliography (from 1972 to 2023)
• R-estimation in linear models: algorithms, complexity, challenges

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