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
收藏
页码：1663 / 1682
页数：20
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