LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Jin Seo Cho (jinseocho@yonsei.ac.kr),
Chirok Han and
Peter Phillips
No 1703, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
Abstract:
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.
Keywords: Asymptotic leptokurtosis; Convex function; Infinite density; Least absolute deviations; Median; Weak convergence (search for similar items in EconPapers)
JEL-codes: C12 G11 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2009-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations:
Published in Econometric Theory (2010), 26(3): 953-962
Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d17/d1703.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Related works:
Journal Article: LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES (2010) ![Downloads](/downloads_econpapers.gif)
Working Paper: LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (2009) ![Downloads](/downloads_econpapers.gif)
Working Paper: LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (2009) ![Downloads](/downloads_econpapers.gif)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1703
Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.
Access Statistics for this paper
More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd (cowles@yale.edu).