Theil-Sen estimation of linear models-Ohlson and Kim (2015)

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onem
Posts: 25
Joined: Wed Nov 03, 2010 10:17 am

Theil-Sen estimation of linear models-Ohlson and Kim (2015)

Unread post by onem »

It seems like Theil (1950) - Sen (1968) estimation of linear models have advantages relative to OLS based on Ohlson and Kim (2015), Review of Accounting Studies 20, 395-435. Is anyone familiar with this estimation?
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Theil-Sen estimation of linear models-Ohlson and Kim (20

Unread post by TomDoan »

Is there any compelling reason to choose that (which doesn't generalize easily to multiple regression) over LAD if you're concerned about robustness?
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