Abstract #301128

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JSM 2003 Abstract #301128
Activity Number: 171
Type: Contributed
Date/Time: Monday, August 4, 2003 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301128
Title: Variance Estimates and Hypothesis Tests for Coefficients in Least Absolute Value Regression
Author(s): Terry E. Dielman*+
Companies: Texas Christian University
Address: Neeley School of Business, Fort Worth, TX, 76129-0001,
Keywords: robust regression ; L1-regression ; least absolute deviations
Abstract:

This study uses Monte Carlo simulation to examine variance estimates for the coefficient estimates in least absolute value (LAV) regression. Variance estimates examined in this paper are based on a procedure suggested by McKean and Schrader. The variance estimates are used in significance tests for LAV regression coefficients. Wald and likelihood ratio tests are compared using the alternative variance estimates. The Lagrange multiplier test is also included in the comparisons although no variance estimate is necessary for this test statistic. The tests are compared on the basis of observed level of significance and power and the results are used to recommend a procedure for variance estimation.

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