Dear John,
It is not clear that it generally makes sense to compare the efficiency of median
and mean regression. Unless you impose the strong condition that the errors
have a symmetric distribution, the two regressions estimate different quantities
so efficiency is unlikely to be a good criterion to choose between the two.
All the best,
Joao
> Hi:
>
> I have been playing around with Stata's qreg, and have been reading up on
> when qreg is useful. For the case of median regression, I can't find much
> literature on it, particularly about the small sample properties of the
> estimator. Does anyone know of any simulation studies that compares the
> efficiency of the median-regression (LAD) estimator to that of the OLS
> estimator in small samples (and ideally with data having outliers)?
>
>
> Thanks.
> J.
>
> --
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
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> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor
> The Leadership Quarterly
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