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

S.M. Roknossadati and M. Zarepour

Econometric Theory, 2010, vol. 26, issue 6, 1663-1682

Abstract: 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 α ∈ (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.

Date: 2010
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