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Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

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  • rp19_12

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  • Vanessa Berenguer-Rico, University of Oxford, United Kingdom
  • Søren Johansen
  • Bent Nielsen, Nuffield College, Oxford, United Kingdom
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages22
Publication statusPublished - 13 Jun 2019
SeriesCREATES Research Paper

    Research areas

  • 1-step Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity.

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