The Sampling Distribution of the Least Absolute Residuals Regression Estimates

THE COMMITTEE ON ECONOMETRICS AND MATHEMATICAL ECONOMICS Working Paper No. IP-164 THE SAMPLING DISTRIBUTION OF LEAST ABSOLUTE RESIDUALS REGRESSION ESTIMATES by Barr Rosenberg and Daryl Carlson November 1971 Revised Note: The authors are Assistant Professor and graduate student at the School of Business Administration, University of C a l i f o r n i a , Berkeley, Much of this work was completed while the senior author was supported by an NSF graduate fellowship at Harvard University. Later stages of the work were supported by NSF Grants GS-2102 and 3306 through the Institute of Business and Economic Research, University of C a l i f o r n i a , Berkeley. The authors gratefully acknowledge the helpful comments of Pro- fessors L. D. Taylor, H. S. Houthakker, R. Dobell, J . B. Ramsey 9 C. Kelso, and M. Stefanski. An e a r l i e r version of this a r t i c l e was presented at the Econometric Society Meetings, December, 1970. INSTITUTE OF BUSINESS AND ECONOMIC RESEARCH CENTER FOR RESEARCH IN MANAGEMENT SCIENCE University of C a l i f o r n i a , Berkeley