Robust Trend Estimation for AR(1) Disturbances

Roland Fried and Ursula Gather

No 2004,64, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.

Keywords: Robust Regression; Autocorrelations; Detrending; Cochrane-Orcutt Estimator; Prais-Winsten Estimator (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200464

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