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Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Author

Listed:
  • Vanessa Berenguer-Rico

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

  • Søren Johansen

    () (University of Copenhagen and CREATES and Aarhus University)

  • Bent Nielsen

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

Abstract

A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker su¢ cient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-o§ in the rule for selecting outliers.

Suggested Citation

  • Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Economics Papers 2019-W04, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1904
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    File URL: https://www.nuffield.ox.ac.uk/economics/Papers/2019/2019W04_EP_VSB_consis_24may2019.pdf
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    References listed on IDEAS

    as
    1. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," Economics Papers 2019-W03, Economics Group, Nuffield College, University of Oxford.
    2. Søren Johansen & Bent Nielsen, 2016. "Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 321-348, June.
    3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    4. Søren Johansen & Bent Nielsen, 2016. "Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 374-381, June.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," CREATES Research Papers 2019-15, Department of Economics and Business Economics, Aarhus University.

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    More about this item

    Keywords

    1-step Huber skip; Asymptotic theory; Empirical processes; Gauge; Marked and Weighted Empirical processes; Non-stationarity; Robust Statistics; Stationarity;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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