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.