Large Sample Tests of General Hypotheses in LAD Regression

摘要

The objective of this paper is to investigate the large sample tests of general hypotheses based on the LAD estimator. It is shown for LAD linear regression that the Wald type and Rao's score type test statistics have the same asymptotic central chisquare behaviors at the null hypotheses and have noncentral chi-square behaviors for local alternatives under some mild regularity conditions. In LAD nonlinear regression, we obtain similar result for Wald type test statistic.