M-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS

被引：9

作者：

Roknossadati, S. M. ^{[1
]}

Zarepour, M. ^{[1
]}

机构：

[1] Univ Ottawa, Dept Math & Stat, Ottawa, ON K1N 6N5, Canada

来源：

ECONOMETRIC THEORY | 2010年 / 26卷 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

GAUSS-NEWTON; LIMIT THEORY; CONVERGENCE;

D O I：

10.1017/S0266466609990752

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the limiting behavior of the M-estimators of parameters for a spatial unilateral autoregressive model with independent and identically distributed innovations in the domain of attraction of a stable law with index alpha is an element of ( 0, 2]. Both stationary and unit root models and some extensions are considered. It is also shown that self-normalized M-estimators are asymptotically normal. A numerical example and a simulation study are also given.

引用

页码：1663 / 1682

页数：20

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