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Efficient Robust Estimation of Time-Series Regression Models

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  • Cizek, P.

    (Tilburg University, Center For Economic Research)

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  • Cizek, P., 2007. "Efficient Robust Estimation of Time-Series Regression Models," Discussion Paper 2007-95, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:d76eb299-a6b2-4f5a-bb9f-adf83d30c0c6
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    References listed on IDEAS

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    1. van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for ARCH in the Presence of Additive Outliers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 539-562, Sept.-Oct.
    2. Jonathan R. W. Temple, 1998. "Robustness tests of the augmented Solow model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 361-375.
    3. Preminger, Arie & Franck, Raphael, 2007. "Forecasting exchange rates: A robust regression approach," International Journal of Forecasting, Elsevier, vol. 23(1), pages 71-84.
    4. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
    5. Marc G. Genton & André Lucas, 2003. "Comprehensive definitions of breakdown points for independent and dependent observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 81-94, February.
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