Boundedness of M-estimators for linear regression in time series

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Standard

Boundedness of M-estimators for linear regression in time series. / Johansen, Søren; Nielsen, Bent.

I: Econometric Theory, Bind 35, Nr. 3, 2019, s. 653-683.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Nielsen, B 2019, 'Boundedness of M-estimators for linear regression in time series', Econometric Theory, bind 35, nr. 3, s. 653-683. https://doi.org/10.1017/S0266466618000257

APA

Johansen, S., & Nielsen, B. (2019). Boundedness of M-estimators for linear regression in time series. Econometric Theory, 35(3), 653-683. https://doi.org/10.1017/S0266466618000257

Vancouver

Johansen S, Nielsen B. Boundedness of M-estimators for linear regression in time series. Econometric Theory. 2019;35(3):653-683. https://doi.org/10.1017/S0266466618000257

Author

Johansen, Søren ; Nielsen, Bent. / Boundedness of M-estimators for linear regression in time series. I: Econometric Theory. 2019 ; Bind 35, Nr. 3. s. 653-683.

Bibtex

@article{6ff30116f5734ba49c275b70a70455e8,
title = "Boundedness of M-estimators for linear regression in time series",
abstract = "We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semicontinuous and sufficiently large for large argument. Particular cases are the Huber-skip and quantile regression. Boundedness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary and random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.",
author = "S{\o}ren Johansen and Bent Nielsen",
year = "2019",
doi = "10.1017/S0266466618000257",
language = "English",
volume = "35",
pages = "653--683",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Boundedness of M-estimators for linear regression in time series

AU - Johansen, Søren

AU - Nielsen, Bent

PY - 2019

Y1 - 2019

N2 - We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semicontinuous and sufficiently large for large argument. Particular cases are the Huber-skip and quantile regression. Boundedness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary and random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.

AB - We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semicontinuous and sufficiently large for large argument. Particular cases are the Huber-skip and quantile regression. Boundedness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary and random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.

U2 - 10.1017/S0266466618000257

DO - 10.1017/S0266466618000257

M3 - Journal article

VL - 35

SP - 653

EP - 683

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 3

ER -

ID: 209600192