One-step R-estimation in linear models with stable errors

Journal of Econometrics

Volumn 172, Issue 2, 2013, Pages 195-204

  Hallin, Marc ^a,b,c   Swan, Yvik ^a,d   Verdebout, Thomas ^e   Veredas, David ^a,f  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^b PRINCETON UNIVERSITY   (United States)

^c TILBURG UNIVERSITY   (Netherlands)

^d UNIVERSITY OF LUXEMBOURG   (Luxembourg)

^e UNIV LILLE   (France)

^f SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT   (Belgium)

Author keywords

Asymptotic relative efficiency; LAD estimation; Local asymptotic normality; R estimation; Stable distributions

Indexed keywords

COMPUTATIONAL METHODS; OPTIMIZATION;

ASYMPTOTIC PERFORMANCE; ASYMPTOTIC RELATIVE EFFICIENCY; CLOSED FORM; ESTIMATION TECHNIQUES; LEAST SQUARE; LOCAL ASYMPTOTIC NORMALITIES; OPTIMAL RATE; R-ESTIMATION; STABLE DISTRIBUTIONS; STABLE ERROR; TAIL INDEX;

ESTIMATION;

EID: 84872018490     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.08.016     Document Type: Conference Paper

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