Cover Image

LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES

Least absolute deviations (LAD) estimation of linear time series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.
Year of publication:
2010
Authors: Cho, Jin Seo ; Han, Chirok ; Phillips, Peter C.B.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 26.2010, 03, p. 953-962
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008505659
Similar items by person