S-estimation of nonlinear regression models with dependent and heterogeneous observations

In time series regression, where a single outlier can appear in the regress or vector multiple times due to the presence of lagged variables, resistanc e of an estimator to outliers is of serious concern. We show that the high resistance of S-estimators in cross section regression carries over to time series. We investigate the large sample properties of S-estimators in nonl inear regression with dependent, heterogeneous data and conduct Monte Carlo simulations to examine the performance of S-estimators and assess the accu racy of our asymptotic approximations. Finally, we offer a simple empirical example applying S-estimators to a financial time series. (C) 2001 Elsevie r Science S.A. All rights reserved.