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M-Estimation For A Spatial Unilateral Autoregressive Model With Infinite Variance Innovations


  • Roknossadati, S.M.
  • Zarepour, M.


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.

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  • Roknossadati, S.M. & Zarepour, M., 2010. "M-Estimation For A Spatial Unilateral Autoregressive Model With Infinite Variance Innovations," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1663-1682, December.
  • Handle: RePEc:cup:etheor:v:26:y:2010:i:06:p:1663-1682_99

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    Cited by:

    1. Martin Drapatz, 2016. "Strictly stationary solutions of spatial ARMA equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 385-412, April.
    2. Gupta, A, 2015. "Autoregressive Spatial Spectral Estimates," Economics Discussion Papers 14458, University of Essex, Department of Economics.

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