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

DOI10.1016/j.jeconom.2012.08.016zbMath1443.62058arXiv1210.5073OpenAlexW2144988112MaRDI QIDQ528136

Yvik Swan, David Veredas, Thomas Verdebout, Marc Hallin

Publication date: 12 May 2017

Published in: Journal of Econometrics, Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5073

zbMATH Keywords

rank testslocal asymptotic normalityasymptotic relative efficiencystable distributionsLAD estimationR-estimationasymptotic relative efficiencies

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Stable stochastic processes (60G52)

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Uses Software

• STABLE

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