Robust Estimation of Regression Models with Dependent Regressors: The Functional Least Squares Approach
将函数最小二乘法扩展到包含滞后因变量和确定性外生变量的回归模型，适用于扰动项长尾或非对称分布的情形。
In the case of regression models, one robust estimation procedure which has recently emerged is that of functional least squares. The procedure is based on the use of characteristic functions for which the tail behavior is relected by the behavior of these functions at the origin. Its attraction is that it is applicable to situations where the distribution of the disturbances may be long-tailed and/or asymmetric. This paper extends this theory to include a large class of regression models of importance in econometrics. Indeed the regression models considered here include lagged dependent variables and deterministic exogenous variables.