Uniform consistency of marked and weighted empirical distributions of residuals

Working paper

A uniform weak consistency theory is presented for the marked and weighted em­pirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a...

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Authors: Berenguer Rico, V; Nielsen, B; Johansen, S

• Publication status: Published
• Publisher: University of Oxford Publisher's website
• Series: Department of Economics Discussion Paper Series
• Publication date: 2019-05-31
• Paper number: 871
• Keywords: robust statistics; gauge; 1-step Huber skip; stationarity; asymptotic theory; marked and weighted empirical processes; empirical processes; non-stationarity