Finite sample properties of adaptive regression estimators

Pin T. Ng

Research output: Contribution to journalArticlepeer-review


The finite sample properties of adaptive M- and L-estimators for the linear regression model are studied through extensive Monte Carlo simulations. We provide guidelines for choosing the trimming proportion and estimating the score function for adaptive L-estimators. Suggestions are also given on choosing the trimming parameters, the score function estimators, the initial n-consistent estimator and estimating the Fisher information in the construction of adaptive M-estimators. We also investigate the effect of design dimension on the various adaptive estimators and the accuracy of the estimated standard errors.

Original languageEnglish (US)
Pages (from-to)267-297
Number of pages31
JournalEconometric Reviews
Issue number3
StatePublished - Jan 1 1995


  • Adaptive estimators
  • Finite sample
  • Iterative adaptive estimators
  • Ro-
  • Score function
  • bust estimators

ASJC Scopus subject areas

  • Economics and Econometrics


Dive into the research topics of 'Finite sample properties of adaptive regression estimators'. Together they form a unique fingerprint.

Cite this