36 Pages Posted: 6 May 2008
Date Written: 2008-02
An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip function. The asymptotic theory is derived in the situation where there are no outliers or structural breaks using empirical process techniques. Stationary processes, trend stationary autoregressions and unit root processes are considered.
Keywords: empirical processes, Huber's skip, indicator saturation, M-estimator
JEL Classification: C32
Suggested Citation: Suggested Citation
Johansen, Soren and Nielsen, Bent, An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator (2008-02). Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-03. Available at SSRN: https://ssrn.com/abstract=1129770 or http://dx.doi.org/10.2139/ssrn.1129770