"The empirical process of autoregressive residuals"

Søren Johansen and Bent Nielsen
Department of Economics, University of Copenhagen
Department of Economics, University of Oxford

Abstract:
An algorithm suggested by Hendry (1999) for estimation in a regression
with more regressors than observations, is analyzed with the purpose
of finding an estimator that is robust to outliers and structural
breaks. This estimator is an example of a one-step M-estimator based
on Huber's skip function. The asymptotic theory is derived in the
situation where there are no outliers or structural breaks using
empirical process techniques. Stationary processes, trend stationary
autoregressions and unit root processes are considered.