Template-type: ReDIF-Paper 1.0
Author-Name: Vanessa Berenguer-Rico
Author-Workplace-Name: Department of Economics and Mansfield College, University of Oxford
Author-Email: vanessa.berenguer-rico@economics.ox.ac.uk
Author-Name: Søren Johansen
Author-Workplace-Name: University of Copenhagen and CREATES and Aarhus University
Author-Email: soren.johansen@econ.ku.dk
Author-Name: Bent Nielsen
Author-Workplace-Name: Department of Economics and Nuffield College, University of Oxford
Author-Email: bent.nielsen@economics.ox.ac.uk
Title: The analysis of marked and weighted empirical processes of estimated residuals
Abstract: An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected
observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.
Keywords: 1-step Huber-skip; Non-stationarity; Robust Statistics; Stationarity
Length: 29 pages
Creation-Date: 2019-04-29
Number: 2019-W03
File-URL: https://www.nuffield.ox.ac.uk/economics/Papers/2019/2019W03_VSB_EP_DP.pdf 
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1903