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Asymptotic theory for iterated one-step Huber-skip estimators

  • Søren Johansen

    (Department of Economics, University of Copenhagen and CREATES, School of Economics and Management, Aarhus University)

  • 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: http://www.econ.ku.dk/english/research/publications/wp/dp_2011/1129.pdf
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 11-29.

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Length: 16 pages
Date of creation: 16 Nov 2011
Date of revision:
Handle: RePEc:kud:kuiedp:1129
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  1. 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.
  2. 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.
  3. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages C32-C61, 03.
  4. Cavaliere, Giuseppe & Georgiev, Iliyan, 2013. "Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, vol. 29(06), pages 1162-1195, December.
  5. 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.
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