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M-ESTIMATION FOR A SPATIALUNILATERAL AUTOREGRESSIVE MODEL WITH INFINITEVARIANCE INNOVATIONS

Published online by Cambridge University Press:  17 March 2010

S.M. Roknossadati  and
M. Zarepour
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Abstract

We study the limiting behavior of theM-estimators of parameters for aspatial unilateral autoregressive model withindependent and identically distributed innovationsin the domain of attraction of a stable law withindex α ∈ (0, 2]. Both stationaryand unit root models and some extensions areconsidered. It is also shown that self-normalizedM-estimators are asymptoticallynormal. A numerical example and a simulation studyare also given.

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Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 6 , December 2010 , pp. 1663 - 1682
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

This paper is supported by the Natural Sciencesand Engineering Research Council of Canada. Thefirst author was also supported by the CentralBank of Iran. The authors also are greatlyindebted to two anonymous referees for severalhelpful comments.

References

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