Least absolute deviation estimation for AR(1) processes with roots close to unity

DOI10.1007/S10463-022-00864-0MaRDI QIDQ6175878zbMATH OpenFDO

Authors Nannan Ma, Hailin Sang, Guangyu Yang

Publication date 21 August 2023

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2301.02291

zbMATH Keywords

asymptotic distributionautoregressive processesleast absolute deviation estimationlocal to unityunit root test

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We establish the asymptotic theory of least absolute deviation estimators for AR(1) processes with autoregressive parameter satisfying $n(h{o}_n-1)ogamma$ for some fixed $gamma$ as $noinfty$, which is parallel to the results of ordinary least squares estimators developed by Andrews and Guggenberger (2008) in the case $gamma=0$ or Chan and Wei (1987) and Phillips (1987) in the case $gammae0$. Simulation experiments are conducted to confirm the theoretical results and to demonstrate the robustness of the least absolute deviation estimation.

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Cited in

(2)

• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

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