LAD estimation with random coefficient autocorrelated errors.

DOI10.1016/S0167-9473(00)00050-5zbMath1038.62057WikidataQ126671580 ScholiaQ126671580MaRDI QIDQ5941338

Marilena Furno

Publication date: 20 August 2001

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Conditional heteroskedasticity (ARCH).Least absolute deviation (LAD)Random coefficient autocorrelation (RCA)Thick-tailed distributions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Cites Work

• Least absolute error estimation in the presence of serial correlation
• Glejser's test revisited
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Conditional Heteroscedastic Time Series Models
• Trimmed Least Squares Estimation in the Linear Model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Regression Quantiles
• LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS

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