Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance

Xiaochen Wang, Xiaolong Tang and Yuping Song

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 9, 3169-3186

Abstract: In this article, the M-estimator of the moderate deviations from a unit root model with possibly infinite variance errors is proposed. When the autoregressive coefficients are located on both sides of stationary and explosion, the asymptotic normal properties of the corresponding estimators for unknown parameters are proved, respectively. The asymptotic properties of the M-estimators are obtained in both the mildly integrated case and the mildly explosive case.

Date: 2024
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DOI: 10.1080/03610926.2022.2150824

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