Author(s): Søren Johansen | Bent Nielsen
Journal: Econometrics
ISSN 2225-1146
Volume: 1;
Issue: 1;
Start page: 53;
Date: 2013;
Original page
Keywords: Huber-skip | iteration | one-step M-estimators | unit roots
ABSTRACT
In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip estimator. We provide a stochastic recursion equation for the estimation error in terms of a kernel, the previous estimation error and a uniformly small error term. The main contribution is the analysis of the solution of the stochastic recursion equation as a fixed point, and the results that the normalized estimation errors are tight and are close to a linear function of the kernel, thus providing a stochastic expansion of the estimators, which is the same as for the Huber-skip. This implies that the iterated estimator is a close approximation of the Huber-skip.
Journal: Econometrics
ISSN 2225-1146
Volume: 1;
Issue: 1;
Start page: 53;
Date: 2013;
Original page
Keywords: Huber-skip | iteration | one-step M-estimators | unit roots
ABSTRACT
In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip estimator. We provide a stochastic recursion equation for the estimation error in terms of a kernel, the previous estimation error and a uniformly small error term. The main contribution is the analysis of the solution of the stochastic recursion equation as a fixed point, and the results that the normalized estimation errors are tight and are close to a linear function of the kernel, thus providing a stochastic expansion of the estimators, which is the same as for the Huber-skip. This implies that the iterated estimator is a close approximation of the Huber-skip.
