U-ESTIMATORS OF REGRESSION-COEFFICIENTS

For the regression model yi = x′iξ + ei, 1 ≤ i ≤ n, with i.i.d. residuals (ei), we introduce the estimator of ξ which zeros the weighted U-statistic ∑∑ qijK(êi, êj), where qij is a score vector for regression vectors xi and xj. These include some M- and R-estimators. Asymptotic inference is developed without the need to estimate the (f(hook)′/f(hook)) function, where f(hook) is the pdf of the residuals. © 1993 Academic Press Inc.