GeneralM-Estimation

Z. D. Bai and Y Wu

Journal of Multivariate Analysis, 1997, vol. 63, issue 1, 119-135

Abstract: In this paper, a general form ofM-estimation is proposed and some asymptotics are investigated. The model covers all linear and nonlinear regression models, AR time series, EIVR models, etc. as its special cases. The dispersion functions may be convex or differences of convex functions, the later covers almost all useful choices of the dispersion functions.

Keywords: GeneralM-estimation; asymptotics; multivariate; linear; model (search for similar items in EconPapers)
Date: 1997
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