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Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach

Published online by Cambridge University Press:  18 October 2010

A. H. Welsh  and
D. F. Nicholls
A. H. Welsh
Affiliation:
University of Chicago
D. F. Nicholls
Affiliation:
Australian National University
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Abstract

In the case of regression models, one robust estimation procedure which has recently emerged is that of functional least squares. The procedure is based on the use of characteristic functions for which the tail behavior is relected by the behavior of these functions at the origin. Its attraction is that it is applicable to situations where the distribution of the disturbances may be long-tailed and/or asymmetric.

This paper extends this theory to include a large class of regression models of importance in econometrics. Indeed the regression models considered here include lagged dependent variables and deterministic exogenous variables.

Information

Type
Research Article
Information
Econometric Theory , Volume 2 , Issue 1 , April 1986 , pp. 132 - 150
Copyright
Copyright © Cambridge University Press 1986 

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