### Abstract

There exists a loss function whose expectation is minimized at mode (y{divides}x). Adding the assumption of mode(y{divides}x)=x′β, the mode regression estimator is derived. The mode regression finds its major application in the case of truncated dependent variable, particularly with asymmetric density under homogeneity. The identification of the population parameter β and the strong consistency of the mode regression estimator are proved. Since no distribution theory is available, a small-scale Monte Carlo study is given at the end.

Original language | English |
---|---|

Pages (from-to) | 337-349 |

Number of pages | 13 |

Journal | Journal of Econometrics |

Volume | 42 |

Issue number | 3 |

Publication status | Published - 1989 Nov 1 |

Externally published | Yes |

### Fingerprint

### ASJC Scopus subject areas

- Statistics and Probability
- Finance
- Economics and Econometrics

### Cite this

**Mode regression.** / Lee, Myoung-jae.

Research output: Contribution to journal › Article

}

TY - JOUR

T1 - Mode regression

AU - Lee, Myoung-jae

PY - 1989/11/1

Y1 - 1989/11/1

N2 - There exists a loss function whose expectation is minimized at mode (y{divides}x). Adding the assumption of mode(y{divides}x)=x′β, the mode regression estimator is derived. The mode regression finds its major application in the case of truncated dependent variable, particularly with asymmetric density under homogeneity. The identification of the population parameter β and the strong consistency of the mode regression estimator are proved. Since no distribution theory is available, a small-scale Monte Carlo study is given at the end.

AB - There exists a loss function whose expectation is minimized at mode (y{divides}x). Adding the assumption of mode(y{divides}x)=x′β, the mode regression estimator is derived. The mode regression finds its major application in the case of truncated dependent variable, particularly with asymmetric density under homogeneity. The identification of the population parameter β and the strong consistency of the mode regression estimator are proved. Since no distribution theory is available, a small-scale Monte Carlo study is given at the end.

UR - http://www.scopus.com/inward/record.url?scp=38249007051&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=38249007051&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:38249007051

VL - 42

SP - 337

EP - 349

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 3

ER -