Least absolute deviation estimation for AR(1) processes with roots close to unity
Least absolute deviation estimation for AR(1) processes with roots close to unity
We establish the asymptotic theory of least absolute deviation estimators for AR(1) processes with autoregressive parameter satisfying $$n(\rho _n-1)\rightarrow \gamma$$ for some fixed $$\gamma$$ as $$n\rightarrow \infty$$ , which is parallel to the results of ordinary least squares estimators developed by Andrews and Guggenberger (Journal of Time Series Analysis, 29, …