An analysis of the indicator saturation estimator as a robust regression estimator
Download full text from publisher
Other versions of this item:
- Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers 2008-W03, Economics Group, Nuffield College, University of Oxford.
References listed on IDEAS
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, March.
- Nielsen, Bent, 2005.
"Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms,"
Cambridge University Press, vol. 21(03), pages 534-561, June.
- Bent Nielsen, 2003. "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Papers 2003-W23, Economics Group, Nuffield College, University of Oxford.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
- Neil R. Ericsson, 2008.
"The Fragility of Sensitivity Analysis: An Encompassing Perspective,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 70(s1), pages 895-914, December.
- Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
More about this item
KeywordsEmpirical processes; Huber's skip; indicator saturation; M-estimator; outlier robustness; vector autoregressive process;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
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:aah:create:2008-09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.au.dk/afn/ .