Gini Regressions and Heteroskedasticity

Arthur Charpentier (1) , Ndéné Ka (2) , Stéphane Mussard (3) , Oumar Hamady Ndiaye (3)

1 CREM - Centre de recherche en économie et management
2 UADB - Université Alioune Diop de Bambey
3 CHROME - Détection, évaluation, gestion des risques CHROniques et éMErgents (CHROME) / Université de Nîmes

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.

Mots clés: U-statistics; jackknife; heteroskedasticity; Gini

Domaines: Statistiques [stat]; Économie et finance quantitative [q-fin]

Arthur Charpentier, Ndéné Ka, Stéphane Mussard, Oumar Hamady Ndiaye. Gini Regressions and Heteroskedasticity. Econometrics, 2019, 7 (1), pp.4. ⟨10.3390/econometrics7010004⟩. ⟨hal-02131746⟩