a1 Hong Kong University of Science and Technology
This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(p, q) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models.
The authors greatly appreciate the very helpful comments of three anonymous referees, the associate editor, and the co-editors Peter C.B. Phillips and B. Pötscher. This research was supported in part by Hong Kong Research Grants Commission grants HKUST601607 and HKUST602609.