Asymptotic theory for iterated one-step Huber-skip estimators

Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.

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Year of publication:	2011-11-16
Authors:	Johansen, Søren ; Nielsen, Bent
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Huber-skip \| iteration \| one-step M-estimators \| unit roots

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	9 pages long
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009365639