Department of Economics and Business Economics

Tightness of M-estimators for multiple linear regression in time series

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We show tightness of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semi-continuous and sufficiently large for large argument: Particular cases are the Huber-skip and quantile regression. Tightness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary an random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages20
Publication statusPublished - 30 May 2016
SeriesCREATES Research Papers
Number2016-18

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