{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,11]],"date-time":"2026-03-11T02:35:56Z","timestamp":1773196556588,"version":"3.50.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2001,7,27]],"date-time":"2001-07-27T00:00:00Z","timestamp":996192000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,8]]},"abstract":"<jats:p>We consider a linear model with heteroskedasticity of \nunknown form. Using Stone's (1977, <jats:italic>Annals of Statistics<\/jats:italic> \n5, 595\u2013645) <jats:italic>k<\/jats:italic> nearest neighbors (<jats:italic>k<\/jats:italic>-NN) \nestimation approach, the optimal weightings for efficient \nleast absolute deviation regression are estimated consistently \nusing residuals from preliminary estimation. The reweighted \nleast absolute deviation or median regression estimator \nwith the estimated weights is shown to be equivalent to \nthe estimator using the true but unknown weights under \nmild conditions. Asymptotic normality of the estimators \nis also established. In the finite sample case, the proposed \nestimators are found to outperform the generalized least \nsquares method of Robinson (1987, <jats:italic>Econometrica<\/jats:italic> \n55, 875\u2013891) and the one-step estimator of Newey \nand Powell (1990, <jats:italic>Econometric Theory<\/jats:italic> 6, 295\u2013317) \nbased on a Monte Carlo simulation experiment.<\/jats:p>","DOI":"10.1017\/s0266466601174050","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:16:52Z","timestamp":1027761412000},"page":"765-784","source":"Crossref","is-referenced-by-count":31,"title":["ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE \nOF HETEROSKEDASTICITY OF UNKNOWN FORM"],"prefix":"10.1017","volume":"17","author":[{"given":"Quanshui","family":"Zhao","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2001,7,27]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601174050","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T15:21:13Z","timestamp":1554736873000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601174050\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,7,27]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2001,8]]}},"alternative-id":["S0266466601174050"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601174050","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,7,27]]}}}