On linear models with long memory and heavy-tailed errors
We consider the robust estimation of regression parameters in linear models with long memory and heavy-tailed errors. Asymptotic Bahadur-type representations of robust estimates are developed and their limiting distributions are obtained. It is shown that the limiting distributions are very different from those obtained under short memory. A simulation study is carried out to compare the performance of various asymptotic representations.
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Volume (Year): 102 (2011)
Issue (Month): 2 (February)
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References listed on IDEAS
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Cowles Foundation Discussion Papers
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