Least Trimmed Squares: Cointegration and Outliers
Year: 2026
Type: article
Abstract: ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types. We analyse the estimator in a model that allows a range of contamination and show that it has the same asymptotic properties as the infeasible Ordinary Least Squares estimator applied to a model generated by the good errors.
DOI: 10.1111/obes.70077
Authors: Vanessa Berenguer‐Rico, Bent Nielsen
Institution: University of Oxford
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $3,840
OpenAlex ID: W7160113815