\(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations

DOI10.1016/S0304-4076(01)00039-2zbMath0998.62060MaRDI QIDQ5939169

Shinichi Sakata, Halbert White

Publication date: 28 November 2002

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

zbMATH Keywords

asymptotic properties; high breakdown point estimation; near epoch dependent process

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)

62J02: General nonlinear regression

65C05: Monte Carlo methods

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A model selection method for S‐estimation, On robust testing for conditional heteroscedasticity in time series models, Continuity and differentiability of regression M functionals, Unnamed Item

Uses Software

• S-est

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