The DOI matches its Crossref record; 17 of the 17 references it cites were found in a registry or an index.
Asymmetric Least Squares Estimation and Testing
Abstract
This paper considers estimation and testing using location measures for regression m odels that are based on an asymmetric least-squares criterion functio n. These estimators have properties that are analogous to regression quantiles, but are easier to calculate, as are the corresponding test statistics. Asymmetric least-squares tests of homoskedasticity and s ymmetry compare quite favorably with other tests of these hypotheses in terms of asymptotic relative efficiency. Consequently, asymmetric least-squares estimation provides a convenient and relatively efficie nt method of characterizing the conditional distributi on of a dependent variable given some regressors. Copyright 1987 by The Econometric Society.
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Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Breusch, T. S., & Pagan, A. R. (1979) · Econometrica · doi:10.2307/1911963 · Cited by 5,647
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Optimal Statistical Decisions.
Siegmund, D., & DeGroot, M. H. (1972) · Journal of the American Statistical Association · doi:10.2307/2284675 · Cited by 3,386
Robust Tests for Heteroscedasticity Based on Regression Quantiles
Koenker, R., & Bassett, G. (1982) · Econometrica · doi:10.2307/1912528 · Cited by 1,629
Estimating Regression Models with Multiplicative Heteroscedasticity
Harvey, A. C. (1976) · Econometrica · doi:10.2307/1913974 · Cited by 951
Nonlinear Methods in Econometrics.
Stewart, J., Goldfeld, S. M., & Quandt, R. E. (1973) · The Economic Journal · doi:10.2307/2231148 · Cited by 656
Maximum Likelihood Specification Testing and Conditional Moment Tests
Newey, W. K. (1985) · Econometrica · doi:10.2307/1911011 · Cited by 519
Self-citationTesting for multiplicative heteroskedasticity
Godfrey, L. G. (1978) · Journal of Econometrics · doi:10.1016/0304-4076(78)90031-3 · Cited by 289
Cited by
Chapter 36 Large sample estimation and hypothesis testing
Newey, W. K., & McFadden, D. (1994) · Handbook of Econometrics · doi:10.1016/s1573-4412(05)80005-4 · Cited by 1,743
Self-citationRecent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research
Buchinsky, M. (1998) · The Journal of Human Resources · doi:10.2307/146316 · Cited by 1,449
Higher order elicitability and Osband’s principle
Fissler, T., & Ziegel, J. F. (2016) · The Annals of Statistics · doi:10.1214/16-aos1439 · Cited by 441
Ziegel, J. F. (2016) · Mathematical Finance · doi:10.1111/mafi.12080 · Cited by 353
Metadata
- Authors
- Newey, W. K., & Powell, J. L.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1987-07
- Volume
- 55
- Issue
- 4
- Pages
- 819
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2042590947
- Cited by
- 1,048
- References
- 17
- FWCI
- 2.84
- Type
- journal article
- Language
- en
- Open access
- closed
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