LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Jin Seo Cho (), Chirok-Han and Peter Phillips
Additional contact information
Chirok-Han: Korea University

No 917, Discussion Paper Series from Institute of Economic Research, Korea 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: 12 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://econ.korea.ac.kr/~ri/WorkingPapers/w0917.pdf (application/pdf)

Related works:
Journal Article: LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES (2010)
Working Paper: LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (2009)
Working Paper: LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (2009)
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:iek:wpaper:0917

Access Statistics for this paper

More papers in Discussion Paper Series from Institute of Economic Research, Korea University Contact information at EDIRC.
Bibliographic data for series maintained by Kim, Jisoo ().