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LAD ASYMPTOTICS UNDER CONDITIONALHETEROSKEDASTICITY WITH POSSIBLY INFINITE ERRORDENSITIES

Published online by Cambridge University Press:  05 March 2010

Jin Seo Cho ,
Chirok Han  and
Peter C.B. Phillips
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Abstract

Least absolute deviations (LAD) estimation of lineartime series models is considered under conditionalheteroskedasticity and serial correlation. The limittheory of the LAD estimator is obtained withoutassuming the finite density condition for the errorsthat is required in standard LAD asymptotics. Theresults are particularly useful in application ofLAD estimation to financial time series data.

Information

Type
Brief Report
Information
Econometric Theory , Volume 26 , Issue 3 , June 2010 , pp. 953 - 962
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

We thank Paolo Paruolo and three referees forhelpful comments on the original version. Thepaper is motivated by technical considerationsthat arose in revising Han, Cho, and Phillips(2009, manuscript) for the Journal ofBusiness & Economics Statistics, andwe are grateful to the JBESreview for raising them. Han acknowledges researchsupport from a Korea University Special FacultyResearch Fund. Phillips acknowledges support froma Kelly Fellowship and the NSF under grant SES06-47086.

References

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