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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

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Author Info

  • 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.

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File URL: http://econ.korea.ac.kr/~ri/WorkingPapers/w0917.pdf
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Bibliographic Info

Paper provided by Institute of Economic Research, Korea University in its series Discussion Paper Series with number 0917.

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Length: 12 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:iek:wpaper:0917

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

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  1. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Discussion Paper Series 0914, Institute of Economic Research, Korea University.
  2. 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.
  3. Phillips, P.C.B., 1991. "A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Cambridge University Press, vol. 7(04), pages 450-463, December.
  4. Bose, Arup & Chatterjee, Snigdhansu, 2001. "Generalised bootstrap in non-regular M-estimation problems," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 319-328, December.
  5. Rogers, Alan J., 2001. "Least Absolute Deviations Regression Under Nonstandard Conditions," Econometric Theory, Cambridge University Press, vol. 17(04), pages 820-852, August.
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