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

Published online by Cambridge University Press:  17 March 2010

S.M. Roknossadati  and
M. Zarepour
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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.

Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 6 , December 2010 , pp. 1663 - 1682
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

This paper is supported by the Natural Sciences and Engineering Research Council of Canada. The first author was also supported by the Central Bank of Iran. The authors also are greatly indebted to two anonymous referees for several helpful comments.

References

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