Jump to ContentJump to Main Navigation
The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
Users without a subscription are not able to see the full content.

Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2016. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see http://www.oxfordscholarship.com/page/privacy-policy).date: 10 December 2016

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

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

Chapter:
(p.1) 1 An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator*
Source:
The Methodology and Practice of Econometrics
Author(s):

Søren Johansen (Contributor Webpage)

Bent Nielsen

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0001

This chapter analyzes an algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, 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.

Keywords:   empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .