Book section
An analysis of the indicator saturation estimator as a robust regression estimator.
- Abstract:
- An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip function. The asymptotic theory is derived in the situation where there are no outliers or structural breaks using empirical process techniques. Stationary processes, trend stationary autoregressions and unit root processes are considered.
Actions
Access Document
- Files:
-
-
(pdf, 388.6KB)
-
- Publisher copy:
- 10.1093/acprof:oso/9780199237197.001.0001
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Bibliographic Details
- Publisher:
- Oxford University Press
- Pages:
- 1 - 36
- Host title:
- The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
- Place of publication:
- Oxford
- Publication date:
- 2009-01-01
- DOI:
- ISBN:
- 9780199237197
Item Description
- Language:
- English
- UUID:
-
uuid:5272fe3a-5378-4dad-ac73-56d8fb363a71
- Local pid:
- oai:economics.ouls.ox.ac.uk:14476
- Deposit date:
- 2011-08-16
Related Items
Terms of use
- Copyright date:
- 2009
If you are the owner of this record, you can report an update to it here: Report update to this record