Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
DOI10.1080/07474938.2020.1772568zbMath1490.62433OpenAlexW3116095083MaRDI QIDQ5861012
Elise Coudin, Jean-Marie Dufour
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/01-2017-cah.pdf
stochastic volatilityGARCHprojection methodssign testnon-normalitysimultaneous inferenceserial dependenceheteroskedasticitytest inversionmedian regressionleast absolute deviation estimatorsMonte Carlo tests\(p\)-value functionquantile regressionssign-based methodsHodges-Lehmann-type estimators
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)
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