ESTIMATION IN DYNAMIC LINEAR-REGRESSION MODELS WITH INFINITE VARIANCE ERRORS

被引：14

作者：

KNIGHT, K

机构：

来源：

ECONOMETRIC THEORY | 1993年 / 9卷 / 04期

关键词：

D O I：

10.1017/S0266466600007982

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers the asymptotic behavior of M-estimates in a dynamic linear regression model where the errors have infinite second moments but the exogenous regressors satisfy the standard assumptions. It is shown that under certain conditions, the estimates of the parameters corresponding to the exogenous regressors are asymptotically normal and converge to the true values at the standard n-1/2 rate.

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页码：570 / 588

页数：19

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