Department of Economics and Business Economics

The analysis of marked and weighted empirical processes of estimated residuals

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  • rp19_06

    Final published version, 691 KB, PDF document

  • Vanessa Berenguer-Rico, University of Oxford, Oxford, United Kingdom
  • Søren Johansen, Københavns Universitet, University of Copenhagen and CREATES, Denmark
  • Bent Nielsen, Oxford University, United Kingdom
An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.
Original languageEnglish
Place of publicationAarhus
Number of pages29
Publication statusPublished - 7 May 2019
SeriesCREATES Research Papers
Number2019-06

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