Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

✍ Scribed by S.G Meintanis; G.S Donatos

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 238 KB
• Volume: 31
• Category: Article
• ISSN: 0167-9473
• DOI: 10.1016/s0167-9473(99)00016-x

✦ Synopsis

Many regression-estimation techniques have been extended to cover the case of dependent observations. The majority of such techniques are developed from the classical least squares, M and GM approaches and their properties have been investigated both on theoretical and empirical grounds. However, the behavior of some alternative methods -with satisfactory performance in the regression case -has not received equal attention in the context of time series. A simulation study of four robust estimators for autoregressive models is presented. The discussion of the results takes into account theoretical ÿndings and reveals some ÿnite-sample properties of the estimators.