LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

• المؤلفون الرئيسيون: CHO, Jin Seo, HAN, Chirok, Peter C. B. PHILLIPS
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Asymptotic leptokurtosis; Convex function; Infinite density; Least absolute deviations; Median; Weak convergence; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1819; https://ink.library.smu.edu.sg/context/soe_research/article/2818/viewcontent/LAD_Asymptotics_sv.pdf
• المؤسسة: Singapore Management University

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 asymptoti...