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Asymptotic theory for iterated one-step Huber-skip estimators

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  • Søren Johansen

    ()
    (University of Copenhagen and CREATES)

  • Bent Nielsen

    ()
    (Department of Economics, University of Oxford)

Abstract

Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2011-40.

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Length: 9
Date of creation: 16 Nov 2011
Date of revision:
Handle: RePEc:aah:create:2011-40

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Huber-skip; iteration; one-step M-estimators; unit roots.;

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  1. Giuseppe Cavaliere & Iliyan Georgiev, 2013. "Exploiting infinite variance through Dummy Variables in non-stationary autoregressions," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
  2. Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
  3. Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," CREATES Research Papers 2010-06, School of Economics and Management, University of Aarhus.
  4. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics.
  5. Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197, September.
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Cited by:
  1. Cavaliere, Giuseppe & Georgiev, Iliyan, 2013. "Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, vol. 29(06), pages 1162-1195, December.

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