Sankhya: The Indian Journal of Statistics

2000, Volume 62, Series B, Pt. 2, pp. 217--232

MALLOW'S TYPE BOUNDED INFLUENCE REGRESSION QUANTILE FOR LINEAR REGRESSION MODEL AND SIMULTANEOUS EQUATIONS MODEL

By

LIN-AN CHEN, National Chiao Tung University, Taiwan
PETER THOMPSON, Wabash College, Crawfordsville

and

HUNG-CHANG CHUANG, National Chiao Tung University, Taiwan

SUMMARY. We present asymptotic distributions of the Mallow$'$s type bounded-influence regression quantile for the linear regression model and also the simultaneous equations model. Monte Carlo simulation comparing mean squared errors shows that the bounded-influence one is more efficient than the unbounded-influence one (Koenker and Bassett (1978)) when gross errors occur in the independent-variables-space. Analysis of examples involving real data have also been provided.

AMS (1991) subject classification. 62G05, 62G20, 62G30.

Key words and phrases. Influence function, linear regression model, regression quantile, simultaneous equations model.

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