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Asymptotic theory for iterated one-step Huber-skip estimators

  • Søren Johansen

    ()

    (University of Copenhagen and CREATES)

  • Bent Nielsen

    ()

    (Department of Economics, University of Oxford)

Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.

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File URL: ftp://ftp.econ.au.dk/creates/rp/11/rp11_40.pdf
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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2011-40.

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Length: 9
Date of creation: 16 Nov 2011
Date of revision:
Handle: RePEc:aah:create:2011-40
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  1. David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
  2. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics.
  3. Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Discussion Papers 10-06, University of Copenhagen. Department of Economics.
  4. Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197, March.
  5. repec:bot:quadip:118 is not listed on IDEAS
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