Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Vanessa Berenguer-Rico, Søren Johansen, Bent Nielsen

Publikation: Working paper/Preprint Working paperForskning

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Abstract

A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-off in the rule for selecting outliers.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider22
StatusUdgivet - 13 jun. 2019
NavnCREATES Research Paper
Nummer2019-12

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