Gini Regressions and Heteroskedasticity

Abstract : We propose an Aitken estimator for Gini regression. The suggested A-Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test is proposed and shows that a better power is obtained compared with the usual White test when outlying observations contaminate the data.
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Arthur Charpentier, Ndéné Ka, Stéphane Mussard, Oumar Ndiaye. Gini Regressions and Heteroskedasticity. Econometrics, MDPI, 2019, 7 (1), pp.4. ⟨10.3390/econometrics7010004⟩. ⟨hal-02131746⟩

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