The analysis of marked and weighted empirical processes of estimated residuals

Vanessa Berenguer-Rico (), Soren Johansen and Bent Nielsen ()
Additional contact information
Vanessa Berenguer-Rico: University of Oxford, Postal: Department of Economics, Mansfield College, Manor Road Building, Manor Road, Oxford OX1 3UQ, U.K.
Bent Nielsen: University of Oxford, Postal: Department of Economics, Nuffield College; Oxford; OX1 1NF; U.K

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.

Keywords: 1-step Huber-skip; Non-stationarity; Robust Statistics; Stationarity (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Pages: 29
Date: 2019-04-29
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Working Paper: The analysis of marked and weighted empirical processes of estimated residuals (2019)
Working Paper: The analysis of marked and weighted empirical processes of estimated residuals (2019)
Working Paper: The analysis of marked and weighted empirical processes of estimated residuals (2019)
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