Least absolute error estimation in the presence of serial correlation

DOI10.1016/0304-4076(90)90076-6zbMath0693.62094OpenAlexW1969659637MaRDI QIDQ908646

Andrew A. Weiss

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90076-6

zbMATH Keywords

asymptotic covariance matrixleast absolute error estimationserially correlated errorstests for serial correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (8)

Tests for structural break in quantile regressions ⋮ ARCH tests and quantile regressions ⋮ A residual-based test for autocorrelation in quantile regression models ⋮ Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean? ⋮ Estimating parameters in autoregressive models with asymmetric innovations ⋮ Least absolute value regression: recent contributions ⋮ LAD estimation with random coefficient autocorrelated errors. ⋮ Estimating parameters in autoregressive models in non-normal situations: symmetric innovations

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