Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors
有限方差误差下单位根过程 LAD 估计的渐近理论
In this paper we derive the asymptotic distribution of the least absolute deviations ( LAD ) estimator of the autoregressive parameter under the unit root hypothesis, when the errors are assumed to have finite variances, and present LAD -based unit root tests, which, under heavy-tailed errors, are expected to be more powerful than tests based on least squares. The limiting distribution of the LAD estimator is that of a functional of a bivariate Brownian motion, similar to…