Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
Year of publication: |
2020
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Authors: | Coudin, Elise ; Dufour, Jean-Marie |
Subject: | GARCH | heteroskedasticity | Hodges-Lehmann-type estimators | least absolute deviation estimators | median regression | Monte Carlo tests | non-normality | p-value function | projection methods | quantile regressions | serial dependence | sign test | sign-based methods | simultaneous inference | stochastic volatility | test inversion | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
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