Asymptotic theory for iterated one-step Huber-skip estimators

Soren Johansen and Bent Nielsen

No 11-29, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.

Keywords: Huber-skip; iteration; one-step M-estimators; unit roots (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2011-11-16
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (5)

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Working Paper: Asymptotic theory for iterated one-step Huber-skip estimators (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:1129

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