\(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations

DOI10.1016/S0304-4076(01)00039-2zbMath0998.62060OpenAlexW2003036796MaRDI QIDQ5939169

Halbert White, Shinichi Sakata

Publication date: 28 November 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00039-2

zbMATH Keywords

asymptotic propertieshigh breakdown point estimationnear epoch dependent process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items

Instrumental variable estimation based on conditional median restriction, Continuity and differentiability of regression M functionals, On robust testing for conditional heteroscedasticity in time series models, A model selection method for S‐estimation, Robust inference for nonlinear regression models, Unnamed Item

Uses Software

• S-est

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