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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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    References listed on IDEAS

    1. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
    2. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2009. "Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions," Econometrica, Econometric Society, vol. 77(4), pages 1193-1227, July.
    3. Harry J. Paarsch & Han Hong, 2006. "An Introduction to the Structural Econometrics of Auction Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262162350, January.
    4. Donald, Stephen G. & Paarsch, Harry J., 1996. "Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm," Econometric Theory, Cambridge University Press, vol. 12(03), pages 517-567, August.
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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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