A1459
Title: Estimation of the autoregressive parameter under the presence of outliers
Authors: Antonio Montanes - University of Zaragoza (Spain) [presenting]
Abstract: The purpose is to explore the properties of the estimator of the autoregressive parameter proposed in another study when the variable under analysis may exhibit some additive outliers. Results show that this statistic exhibits better size and power properties than the standard alternatives, especially when the autoregressive parameter is highly persistent.
