BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES

Soren Johansen and Bent Nielsen

Econometric Theory, 2019, vol. 35, issue 3, 653-683

Abstract: We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semicontinuous and sufficiently large for large argument. Particular cases are the Huber-skip and quantile regression. Boundedness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary and random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.

Date: 2019
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