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

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Year of publication:	2009
Authors:	Cho, Jin Seo
Other Persons:	Han, Chirok (contributor) ; Phillips, Peter C. B. (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Heteroskedastizität \| Heteroscedasticity \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Statistische Verteilung \| Statistical distribution

Extent:	1 Online-Ressource (11 p)
Series:	Cowles Foundation Discussion Paper ; No. 1703
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 4, 2009 erstellt
Other identifiers:	10.2139/ssrn.1414342 [DOI]
Classification:	C12 - Hypothesis Testing ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013159223