An analysis of the indicator saturation estimator as a robust regression

Soren Johansen () and Bent Nielsen

No 08-03, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: 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 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. Classification JEL: C32

Keywords: empirical processes; Huber's skip; indicator saturation; M-estimator; outlier robustness; vector autoregressive process (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-02
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