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...

The paper by Atkinson, Riani and Ceroli, henceforth ARC, is concerned with detection of outliers and unsuspected structures which is rather important in practice.  This is done through a Forward Search Algorithm.  The statistical analysis of such algorithms poses many challenging problems, and...

The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data.  This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000).  An asymptotic analysis of the Forward Search is...

When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break...

Some examples of the regression method are compared with likelihood-based inference. It is shown that, although the asymptotic theory is distinctly different for ergodic and nonergodic processes, the likelihood methods lead to the result that asymptotic inference can be conducted in the same way...