LAD estimation with random coefficient autocorrelated errors.

DOI10.1016/S0167-9473(00)00050-5MaRDI QIDQ5941338zbMATH OpenWikidataFDO

Authors Marilena Furno

Publication date 20 August 2001

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

Full work available at URL https://doi.org/10.1016/S0167-9473(00)00050-5

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

Review text

We compare the performance of LAD and OLS in linear regression models with errors which are randomly autocorrelated. This model yields thick-tailed error distributions which make profitable to estimate the model by LAD. The LAD estimator for randomly autocorrelated errors is proved to be asymptotically normal. Monte Carlo results show that LAD improves upon OLS, unless we revert to a constant autocorrelation model, where the two methods are comparable.

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Cites work

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

Cited in

(2)

• Stable identification of linear autoregressive model with exogenous variables on the basis of the generalized least absolute deviation method
• Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient

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