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An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator *

Søren Johansen and Bent Nielsen

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0001
Subject:
Economics and Finance, Econometrics

This chapter analyzes an algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, with the purpose of finding an estimator that is robust to ... More


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