LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |