Robust estimation of the VAR model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10071396" target="_blank" >RIV/00216208:11320/10:10071396 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Robust estimation of the VAR model
Original language description
Vector autoregressive model is a very popular tool in multiple time series analysis. Its parameters are usually estimated by the least squares procedure which is very sensitive to the presence of errors in data, e.g. outliers. If outliers were present, the estimation results would become unreliable. Therefore in the presented paper we will propose a new procedure for estimating multivariate regression model. This method is a multivariate generalization of the univariate Least Weighted Squares (LWS) of residuals introduced in [14]. Therefore we will call this estimate Multivariate Least Weighted Squares (MLWS) and we will use it for estimating the coeficients of vector autoregressive model. We will also perform a simulation study to compare our estimatewith LS and robust Multivariate Least Trimmed Squares (MLTS).
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustification of selected econometric methods</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Jihočeská univerzita, ekonomická fakulta
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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