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
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