LIMIT THEORY FOR M-ESTIMATES IN AN INTEGRATED INFINITE VARIANCE PROCESS

被引：54

作者：

KNIGHT, K

机构：

来源：

ECONOMETRIC THEORY | 1991年 / 7卷 / 02期

关键词：

D O I：

10.1017/S0266466600004400

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the limiting distributions of M-estimates of an “autoregressive” parameter when the observations come from an integrated linear process with infinite variance innovations. It is shown that M-estimates are, asymptotically, infinitely more efficient than the least-squares estimator (in the sense that they have a faster rate of convergence) and are conditionally asymptotically normal. © 1991, Cambridge University Press. All rights reserved.

引用

页码：200 / 212

页数：13

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