The symmetric type two-stage trimmed least squares estimator for the simultaneous equations model

Lin An Chen*, Peter Thompson, Hui-Nien Hung

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

A two-stage symmetric regression quantile is considered as an alternative for estimating the population quantile for the simultaneous equations model. We introduce a two-stage symmetric trimmed least squares estimator (LSE) based on this quantile. It is shown that, under mixed multivariate normal errors, this trimmed LSE has asymptotic variance much closer to the Cramér-Rao lower bound than some usual robust estimators. It can even achieve the Cramér-Rao lower bound when the contaminated variance goes to infinity. This suggests that the symmetric-type quantile function is as efficient in other statistical applications, such as outlier detection. A Monte Carlo study under asymmetric error distribution and a real data analysis are also presented.

Original languageEnglish
Pages (from-to)1243-1255
Number of pages13
JournalStatistica Sinica
Volume10
Issue number4
StatePublished - 1 Oct 2000

Keywords

  • Regression quantile
  • Simultaneous equations model
  • Trimmed least squares estimator

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