LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Peter Phillips, Jin Seo Cho () and Chirok Han Author Email:
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Chirok Han Author Email:: Korea University

Working Papers from Singapore Management University, Sim Kee Boon Institute for Financial Economics

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: 10 Pages
Date: 2009-04
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Published in SMU-SKBI CoFie Working Paper

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http://www.smu.edu.sg/institutes/skbife/downloads/ ... rror%20Densities.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)
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