This study aimed to compare the robustness of OLS method with a robust regression model on data that had outliers. The methods used were M-estimation, MM-estimation, and S-estimation. step taken was check characteristics against Furthermore, modeled without outliers using M-, MM-, S-estimations. results very different between outlier models in method. It reflected intercept standard error varia...

This paper proposes a novel approach to offer robust inferential theory across all types of persistent regressors in predictive quantile regression model. We first estimate with an auxiliary regressor, which is generated as weighted combination exogenous random walk process and bounded transformation the original regressor. With similar spirit rotation factor analysis, one can then construct es...