The analysis of marked and weighted empirical processes of estimated residuals
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- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," CREATES Research Papers 2019-06, Department of Economics and Business Economics, Aarhus University.
- Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," Discussion Papers 19-05, University of Copenhagen. Department of Economics.
- 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.
References listed on IDEAS
- 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.
- E ric E ngler & B ent N ielsen, 2009.
"The empirical process of autoregressive residuals,"
Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, July.
- Bent Nielsen & Eric Engler, 2007. "The empirical process of autoregressive residuals," Economics Papers 2007-W01, Economics Group, Nuffield College, University of Oxford.
- 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.
- Carlos Santos & David Hendry & Soren Johansen, 2008.
"Automatic selection of indicators in a fully saturated regression,"
Computational Statistics, Springer, vol. 23(2), pages 317-335, April.
- David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
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Cited by:
- Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019.
"Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals,"
Economics Series Working Papers
871, University of Oxford, Department of Economics.
- Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Discussion Papers 19-09, University of Copenhagen. Department of Economics.
- 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.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," CREATES Research Papers 2019-12, Department of Economics and Business Economics, Aarhus University.
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Keywords
1-step Huber-skip; Non-stationarity; Robust Statistics; Stationarity;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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This paper has been announced in the following NEP Reports:- NEP-ORE-2019-09-23 (Operations Research)
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