An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
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An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator. / Johansen, Søren; Nielsen, Bent.
Department of Economics, University of Copenhagen, 2008.Research output: Working paper › Research
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TY - UNPB
T1 - An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
AU - Johansen, Søren
AU - Nielsen, Bent
N1 - JEL classification: C32
PY - 2008
Y1 - 2008
N2 - 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
AB - 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
KW - Faculty of Social Sciences
KW - empirical processes
KW - Huber's skip
KW - M-estimator
KW - outlier robustness
KW - vector autoregressive processes
M3 - Working paper
BT - An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
PB - Department of Economics, University of Copenhagen
ER -
ID: 2596306