ESTIMATION IN DYNAMIC LINEAR-REGRESSION MODELS WITH INFINITE VARIANCEERRORS

Authors
KNIGHT K
Citation
K. Knight, ESTIMATION IN DYNAMIC LINEAR-REGRESSION MODELS WITH INFINITE VARIANCEERRORS, Econometric theory, 9(4), 1993, pp. 570-588
Citations number
16
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
9
Issue
4
Year of publication
1993
Pages
570 - 588
Database
ISI
SICI code
0266-4666(1993)9:4<570:EIDLMW>2.0.ZU;2-M
Abstract
This paper considers the asymptotic behavior of M-estimates in a dynam ic linear regression model where the errors have infinite second momen ts but the exogenous regressors satisfy the standard assumptions. It i s shown that under certain conditions, the estimates of the parameters corresponding to the exogenous regressors are asymptotically normal a nd converge to the true values at the standard n-1/2 rate.