An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

TY - UNPB

T1 - An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

AU - Johansen, Søren

AU - Nielsen, Bent

N1 - JEL classification: C32

PY - 2008

Y1 - 2008

N2 - An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip function. The asymptotic theory is derived in the situation where there are no outliers or structural breaks using empirical process techniques. Stationary processes, trend stationary autoregressions and unit root processes are considered

AB - An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip function. The asymptotic theory is derived in the situation where there are no outliers or structural breaks using empirical process techniques. Stationary processes, trend stationary autoregressions and unit root processes are considered

KW - Faculty of Social Sciences

KW - empirical processes

KW - Huber's skip

KW - M-estimator

KW - outlier robustness

KW - vector autoregressive processes

M3 - Working paper

BT - An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

PB - Department of Economics, University of Copenhagen

ER -