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Asymptotic Theory for Iterated One-Step Huber-Skip Estimators


Soren Johansen


University of Copenhagen - Department of Economics; Aarhus University - CREATES

Bent Nielsen


University of Oxford - Nuffield College
December 2, 2011

University of Copenhagen Economics Discussion Paper No. 11-29

Abstract:     
Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a re-weighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.

Number of Pages in PDF File: 17

Keywords: Huber-skip, iteration, one-step M-estimators, unit roots

JEL Classification: C32

working papers series


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Date posted: December 3, 2011  

Suggested Citation

Johansen, Soren and Nielsen, Bent, Asymptotic Theory for Iterated One-Step Huber-Skip Estimators (December 2, 2011). University of Copenhagen Economics Discussion Paper No. 11-29. Available at SSRN: http://ssrn.com/abstract=1967408 or http://dx.doi.org/10.2139/ssrn.1967408

Contact Information

Soren Johansen (Contact Author)
University of Copenhagen - Department of Economics ( email )
Copenhagen University Library
Licenssekretariatet Nørre Alle 49
DK-2200 Copenhagen N.
Denmark
Aarhus University - CREATES ( email )
Nordre Ringgade 1
Aarhus, DK-8000
Denmark
Bent Nielsen
University of Oxford - Nuffield College ( email )
New Road
Oxford, OX1 1NF
United Kingdom
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