Linear programming-based estimators in nonnegative autoregression
This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model misspecification. Consequently, the LPE...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2330 https://ink.library.smu.edu.sg/context/soe_research/article/3329/viewcontent/AMES2014_330.pdf |
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| Institution: | Singapore Management University |
| Language: | English |