LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
DOI10.1017/S0266466609990703zbMATH Open1191.62146MaRDI QIDQ3577708FDOQ3577708
Authors: Jin Seo Cho, Chirok Han, Peter C. B. Phillips 
Publication date: 23 July 2010
Published in: Econometric Theory (Search for Journal in Brave)
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Cites Work
- Asymptotics for linear processes
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Dependent central limit theorems and invariance principles
- Generalised bootstrap in non-regular M-estimation problems
- Asymptotics for L1‐estimators of regression parameters under heteroscedasticityY
- LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS
Cited In (6)
- Title not available (Why is that?)
- LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS
- Least absolute deviation estimation of autoregressive conditional duration model
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- Quantile cointegration in the autoregressive distributed-lag modeling framework
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
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