JinSeo.Cho - LAD Asymptotics

<Source Information> Jin Seo Cho, Chirok Han, and Peter C.B. Phillips (2010): Econometric Theory, 26, 953-962.

<Abstract> Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.

LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities