Søren Johansen (Department of Economics, University of Copenhagen and CREATES, University of Aarhus) Bent Nielsen () (Department of Economics, University of Oxford)
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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.
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number
2008-W03.
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