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Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

  • Søren Johansen

    (Department of Economics, University of Copenhagen and CREATES, University of Aarhus.)

  • Bent Nielsen

    ()

    (Department of Economics, University of Oxford and Nuffield College)

The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w2/ForwardSearchDiscussion15jan2010.pdf
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2010-W02.

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Length: 13 pages
Date of creation: 15 Jan 2010
Date of revision:
Handle: RePEc:nuf:econwp:1002
Contact details of provider: Web page: http://www.nuff.ox.ac.uk/economics/

References listed on IDEAS
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  1. Eric Engler & Bent Nielsen, 2007. "The empirical process of autoregressive residuals," Economics Series Working Papers 2007-W01, University of Oxford, Department of Economics.
  2. Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
  3. David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
  4. 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.
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