Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach

A. H. Welsh and D. F. Nicholls

Econometric Theory, 1986, vol. 2, issue 1, 132-150

Abstract: In the case of regression models, one robust estimation procedure which has recently emerged is that of functional least squares. The procedure is based on the use of characteristic functions for which the tail behavior is relected by the behavior of these functions at the origin. Its attraction is that it is applicable to situations where the distribution of the disturbances may be long-tailed and/or asymmetric.This paper extends this theory to include a large class of regression models of importance in econometrics. Indeed the regression models considered here include lagged dependent variables and deterministic exogenous variables.

Date: 1986
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