Finite sample properties of adaptive regression estimators

Research output: Contribution to journalArticle

Abstract

The finite sample properties of adaptive M- and L-estimators for the linear regression model are studied through extensive Monte Carlo simulations. We provide guidelines for choosing the trimming proportion and estimating the score function for adaptive L-estimators. Suggestions are also given on choosing the trimming parameters, the score function estimators, the initial n-consistent estimator and estimating the Fisher information in the construction of adaptive M-estimators. We also investigate the effect of design dimension on the various adaptive estimators and the accuracy of the estimated standard errors.

Original languageEnglish (US)
Pages (from-to)267-297
Number of pages31
JournalEconometric Reviews
Volume14
Issue number3
DOIs
StatePublished - Jan 1 1995
Externally publishedYes

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Keywords

  • Adaptive estimators
  • bust estimators
  • Finite sample
  • Iterative adaptive estimators
  • Ro-
  • Score function

ASJC Scopus subject areas

  • Economics and Econometrics

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