Least absolute deviations regression under nonstandard conditions

Most work on the asymptotic properties of least absolute deviations (LAD) estimators makes use of the assumption that the common distribution of the disturbances has a density that is both positive and finite at zero. We consider the implications of weakening this assumption in a number of regression settings, primarily with a time series orientation. These models include ones with deterministic and stochastic trends, and we pay particular attention to the case of a simple unit root model. The way in which the conventional assumption on the error distribution is modified is motivated in part by N.V. Smirnov's work on domains of attraction in the asymptotic theory of sample quantiles. The approach adopted usually allows for simple characterizations (often featuring a single parameter, gamma), of both the shapes of the limiting distributions of the LAD estimators and their convergence rates. The present paper complements the closely related recent work of K. Knight.