Working paper
The analysis of marked and weighted empirical processes of estimated residuals
- Abstract:
-
An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-tri...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2019-05-06
- Paper number:
- 870
Item Description
- Keywords:
- Pubs id:
-
1003076
- Local pid:
- pubs:1003076
- Deposit date:
- 2020-12-14
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- Copyright date:
- 2019
- Rights statement:
- Copyright 2019 The Author(s)
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