Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation
Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation
We consider least absolute error estimation in a dynamic nonlinear model with neither independent nor identically distributed errors. The estimator is shown to be consistent and asymptotically normal, with asymptotic covariance matrix depending on the errors through the heights of their density functions at their medians (zero). A consistent estimator …