An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
Copyright policy )An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of …nding 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.
- University of Oxford United Kingdom
- Department of Economics Indonesia
- University of Copenhagen Denmark
- Department of Economics Switzerland
- University of Copenhagen Denmark
Huber's skip, empirical processes, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, vector autoregressive processes, /dk/atira/pure/core/keywords/FacultyOfSocialSciences; name=Faculty of Social Sciences, Empirical processes, Huber’s skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process., M-estimator, outlier robustness, Faculty of Social Sciences
Huber's skip, empirical processes, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, vector autoregressive processes, /dk/atira/pure/core/keywords/FacultyOfSocialSciences; name=Faculty of Social Sciences, Empirical processes, Huber’s skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process., M-estimator, outlier robustness, Faculty of Social Sciences
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