Mode regression

Research output: Contribution to journalArticle

44 Citations (Scopus)

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 languageEnglish
Pages (from-to)337-349
Number of pages13
JournalJournal of Econometrics
Volume42
Issue number3
Publication statusPublished - 1989 Nov 1
Externally publishedYes

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Regression Estimator
Divides
Regression
Population parameter
Distribution Theory
Strong Consistency
Monte Carlo Study
Loss Function
Homogeneity
Dependent
Estimator

ASJC Scopus subject areas

  • Statistics and Probability
  • Finance
  • Economics and Econometrics

Cite this

Mode regression. / Lee, Myoung-jae.

In: Journal of Econometrics, Vol. 42, No. 3, 01.11.1989, p. 337-349.

Research output: Contribution to journalArticle

Lee, M 1989, 'Mode regression', Journal of Econometrics, vol. 42, no. 3, pp. 337-349.
Lee M. Mode regression. Journal of Econometrics. 1989 Nov 1;42(3):337-349.
Lee, Myoung-jae. / Mode regression. In: Journal of Econometrics. 1989 ; Vol. 42, No. 3. pp. 337-349.
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