Gini regressions and heteroskedasticity

We propose an Aitken estimator for Gini regression. The suggested A -Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test is pr...

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Bibliographic Details
Published in:Econometrics 2019-03, Vol.7 (1), p.1-16
Main Authors: Charpentier, Arthur, Ka, Ndéné, Mussard, Stéphane, Ndiaye, Oumar Hamady
Format: Article
Language:English
Subjects:
Econometrics
Gini
heteroskedasticity
Hypotheses
jackknife
Mathematical functions
Quantitative Finance
Random variables
Simulation
Statistics
U-statistics
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Summary:We propose an Aitken estimator for Gini regression. The suggested A -Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test is proposed and shows that a better power is obtained compared with the usual White test when outlying observations contaminate the data.
ISSN:2225-1146
2225-1146
DOI:10.3390/econometrics7010004