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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Author

Listed:
  • Jin Seo Cho

    (Korea University)

  • Chirok-Han

    (Korea University)

  • Peter C. B. Phillips

    (Yale University, University of Auckland, University of Southampton & Singapore Management University)

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.

Suggested Citation

  • Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Discussion Paper Series 0917, Institute of Economic Research, Korea University.
    • Handle: RePEc:iek:wpaper:0917
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    File URL: http://econ.korea.ac.kr/~ri/WorkingPapers/w0917.pdf
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    References listed on IDEAS

    as
    1. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 282-294, April.
    2. Rogers, Alan J., 2001. "Least Absolute Deviations Regression Under Nonstandard Conditions," Econometric Theory, Cambridge University Press, vol. 17(4), pages 820-852, August.
    3. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
    4. Phillips, P.C.B., 1991. "A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Cambridge University Press, vol. 7(4), pages 450-463, December.
    5. Bose, Arup & Chatterjee, Snigdhansu, 2001. "Generalised bootstrap in non-regular M-estimation problems," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 319-328, December.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.

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    More about this item

    Keywords

    Asymptotic leptokurtosis; Convex function; Infinite density; Least absolute deviations; Median; Weak convergence.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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