S-Estimation in the Linear Regression Model with Long-Memory Error Terms
The phenomenon of long-memory plays an important role in economics. This paper considers the asymptotic properties of S -estimators -- a class of robust estimates with a high breakdown-point and good asymptotic properties -- in the linear regression model with long memory error terms. Here we assume mild regularity conditions on the regressors, which are sufficiently weak to cover, for example, polynomial trends and i.i.d. carries. It turns out that S -estimators are asymptotically normal with a variance-covariance structure which, in the case of long memory, is similar to the structure in the i.i.d. case. In this case S -estimators also have the same rate of convergence as the least squares estimator and the BLUE. It is possible to extend these results to a class of robust estimators which have high breakdown and high efficiency simultaneously, so-called MM-estimators. But MM-estimators are difficult to compute in practice.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||01 Mar 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/CEF99/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sce:scecf9:512. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.