A Comparison of Ordinary Least Squares and Least Absolute Error Estimation
在异方差线性回归模型中，研究了比较OLS和LAE估计量的Hausman检验与基于OLS残差符号的检验，发现两者等价，并讨论了同方差和误差不对称等特例。
In a linear-regression model with heteroscedastic errors, we consider two tests: a Hausman test comparing the ordinary least squares (OLS) and least absolute error (LAE) estimators and a test based on the signs of the errors from OLS. It turns out that these are related by the well-known equivalence between Hausman and the generalized method of moments tests. Particular cases, including homoscedasticity and asymmetry in the errors, are discussed.