DataScience@BI seminar with Bent Nielsen
The DataScience@BI seminar is organised by the Department of Data Science and Analytics, BI Norwegian Business School.
- Starts:12:00, 10 March 2026
- Ends:13:00, 10 March 2026
- Location:BI - campus Oslo, B3 inner area - next to meeting room B3i-108 or Zoom
- Contact:Siri Johnsen (siri.johnsen@bi.no)
"Least Trimmed Squares: Cointegration and outliers"
by Vanessa Berenguer-Rico and Bent Nielsen (2025)
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 analyze 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.
Download the paper: Nuffield Discussion Paper 2025-W03
Key research areas: Econometrics
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