Glossary of economics research
Results of search for LAD follow:
LAD:
Stands for 'Least absolute deviations' estimation.
LAD estimation can be used to estimate a smooth conditional median function;
that is, an estimator for the median of the process given the data. Say the
data are stationary {xt, yt}. The dependent variable is
y and the independent variable is x.The criterion function to be minimized in
LAD estimation for each observation t is:
q(xt,yt,q) =
|yt=m(xt,q)|
where m() is a guess at the conditional median function.
Under conditions specified in Wooldridge, p 2657, the LAD estimator here is
Fisher-consistent for parameters of the estimator of the median
function.
Source: Wooldridge 1995, p 2657
Contexts: econometrics
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