The analysis of marked and weighted empirical processes of estimated residuals

Vanessa Berenguer Rico, Bent Nielsen and Soren Johansen

No 870, Economics Series Working Papers from University of Oxford, Department of Economics

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)
Date: 2019-05-06
New Economics Papers: this item is included in nep-ore
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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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