An analysis of the indicator saturation estimator as a robust regression estimator.
An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip func...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2008
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