An analysis of the indicator saturation estimator as a robust regression estimator
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- Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers 2008-09, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, March.
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- 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.
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- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
- 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.).
- 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 & 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.).
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:
- NEP-ALL-2008-02-16 (All new papers)
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