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Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Author

Listed:
  • Søren Johansen

    (Department of Economics, University of Copenhagen and CREATES, University of Aarhus.)

  • Bent Nielsen

    (Department of Economics, University of Oxford and Nuffield College)

Abstract

The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.
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Suggested Citation

  • Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Economics Papers 2010-W02, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1002
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    File URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w2/ForwardSearchDiscussion15jan2010.pdf
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    References listed on IDEAS

    as
    1. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
    2. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, March.
    3. E ric E ngler & B ent N ielsen, 2009. "The empirical process of autoregressive residuals," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, July.
    4. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics.
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    Cited by:

    1. Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," CREATES Research Papers 2011-40, Department of Economics and Business Economics, Aarhus University.

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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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