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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

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Author Info
Jin Seo Cho (Dept. of Economics, Korea University)
Chirok Han (Dept. of Economics, Korea University)
Peter C.B. Phillips () (Cowles Foundation, Yale University)

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Abstract

Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.

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File URL: http://cowles.econ.yale.edu/P/cd/d17a/d1703.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1703.

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Length: 10 pages
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:cwl:cwldpp:1703

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Related research
Keywords: Asymptotic leptokurtosis; Convex function; Infinite density; Least absolute deviations; Median; Weak convergence;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December. [Downloadable!]
  2. Phillips, P.C.B., 1991. "A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Cambridge University Press, vol. 7(04), pages 450-463, December. [Downloadable!]
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This page was last updated on 2009-11-12.

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