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M-estimation for regressions with integrated regressors and ARMA errors

Title
M-estimation for regressions with integrated regressors and ARMA errors
Authors
Shin D.W.Lee O.
Ewha Authors
이외숙신동완
SCOPUS Author ID
이외숙scopus; 신동완scopus
Issue Date
2004
Journal Title
Journal of Time Series Analysis
ISSN
0143-9782JCR Link
Citation
vol. 25, no. 2, pp. 283 - 299
Indexed
SCI; SCIE; SCOPUS WOS scopus
Abstract
General M-estimation is developed for regression models with integrated regressors and autoregressive moving average (ARMA) errors, in which the ARMA parameters are jointly estimated with the regression parameters. The large sample distribution of the M-estimator is derived. Allowing the regressors to be dependent on the error terms, a parametric 'fully modified' (FM) M-estimator is proposed. In cases of ARMA errors, a Monte-Carlo experiment reveals superiority of the parametric estimators over the semiparametric FM M-estimator of Phillips Econometric Theory 11 (1995, p 912) in terms of empirical mean squared error.
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자연과학대학 > 통계학전공 > Journal papers
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