Robust Trend Estimation for AR(1) Disturbances

We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.

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Year of publication:	2004
Authors:	Fried, Roland ; Gather, Ursula
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Robust Regression \| Autocorrelations \| Detrending \| Cochrane-Orcutt Estimator \| Prais-Winsten Estimator

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2004,64
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216845