Asymptotics for robust MOSUM
Asymptotics for weakly dependent errors-in-variables
Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input-output disturbances. Such an estimate is highly non-linear. Moreover in some realistic situations, the errors cannot be considered as independent by nature. Weakly dependent (- and -mixing) disturbances, which are not necessarily stationary nor identically...
Asymptotics of the regression quantile basic solution under misspecification
We consider the asymptotic distribution of covariate values in the quantile regression basic solution under weak assumptions. A diagnostic procedure for assessing homogeneity of the conditional densities is also proposed.