IDEAS home Printed from https://ideas.repec.org/p/ulb/ulbeco/2013-127962.html
   My bibliography  Save this paper

Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions

Author

Listed:
  • Faouzi El Bantli
  • Marc Hallin

Abstract

The authors derive the limiting distribution of M-estimators in AR(p) models under nonstandard conditions, allowing for discontinuities in score and density functions. Unlike usual regularity assumptions, these conditions are satisfied in the context of L1-estimation and autoregression quantiles. The asymptotic distributions of the resulting estimators, however, are not generally Gaussian. Moreover, their bootstrap approximations are consistent along very specific sequences of bootstrap sample sizes only.

Suggested Citation

  • Faouzi El Bantli & Marc Hallin, 2001. "Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions," ULB Institutional Repository 2013/127962, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:ulb:ulbeco:2013/127962
    Note: SCOPUS: ar.j
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ulb:ulbeco:2013/127962. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Pauwels (email available below). General contact details of provider: https://edirc.repec.org/data/ecsulbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.