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LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities

LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
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 asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.
asymptotic leptokurtosis, convex function, infinite density, least absolute deviations, median, weak convergence
953-962
Cho, Jin Seo
73c54d86-de50-44c7-8d1f-afbfab67bfc1
Han, Chirok
acedb9ff-f19b-4313-aa72-a69cf89b4fc6
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Cho, Jin Seo
73c54d86-de50-44c7-8d1f-afbfab67bfc1
Han, Chirok
acedb9ff-f19b-4313-aa72-a69cf89b4fc6
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243

Cho, Jin Seo, Han, Chirok and Phillips, Peter C.B. (2010) LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities. Econometric Theory, 26, 953-962. (doi:10.1017/S0266466609990703). (In Press)

Record type: Article

Abstract

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 asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.

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More information

Accepted/In Press date: 2010
Keywords: asymptotic leptokurtosis, convex function, infinite density, least absolute deviations, median, weak convergence

Identifiers

Local EPrints ID: 157283
URI: http://eprints.soton.ac.uk/id/eprint/157283
DOI: doi:10.1017/S0266466609990703
PURE UUID: 354ecd5a-0681-482f-8be1-ac6d2958a5f3
ORCID for Peter C.B. Phillips: ORCID iD orcid.org/0000-0003-2341-0451

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Date deposited: 04 Jun 2010 11:41
Last modified: 14 Mar 2024 01:46

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Contributors

Author: Jin Seo Cho
Author: Chirok Han
Author: Peter C.B. Phillips ORCID iD

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