Quantile Uncorrelation and Instrumental Regressions
نویسندگان
چکیده
منابع مشابه
Quantile Uncorrelation and Instrumental Regressions
We introduce a notion of median uncorrelation that is a natural extension of mean (linear) uncorrelation. A scalar random variable Y is median uncorrelated with a k-dimensional random vector X if and only if the slope from an LAD regression of Y on X is zero. Using this simple definition, we characterize properties of median uncorrelated random variables, and introduce a notion of multivariate ...
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ژورنال
عنوان ژورنال: Journal of Econometric Methods
سال: 2012
ISSN: 2156-6674
DOI: 10.1515/2156-6674.1001