Least Absolute Deviation Estimation of a Shift

B-Tier
Journal: Econometric Theory
Year: 1995
Volume: 11
Issue: 3
Pages: 403-436

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper develops the asymptotic theory for least absolute deviation estimation of a shift in linear regressions. Rates of convergence and asymptotic distributions for the estimated regression parameters and the estimated shift point are derived. The asymptotic theory is developed both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. Asymptotic distributions are also obtained for trending regressors and for dependent disturbances. The analysis is carried out in the framework of partial structural change, allowing some parameters not to be influenced by the shift. Efficiency relative to least-squares estimation is also discussed. Monte Carlo analysis is performed to assess how informative the asymptotic distributions are.

Technical Details

RePEc Handle
repec:cup:etheor:v:11:y:1995:i:03:p:403-436_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-24