An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Johansen, Søren ^a,b   Nielsen, Bent ^c  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b AARHUS UNIVERSITY   (Denmark)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Empirical processes; Huber's skip; Indicator saturation; M estimator; Outlier robustness; Vector autoregressive process

Indexed keywords

EID: 84919668564     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0001     Document Type: Chapter

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