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Estimation in Dynamic Linear Regression Models with Infinite Variance Errors

This paper considers the asymptotic behavior of <italic>M</italic>-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 <italic>n</italic><sup>−½</sup> rate.
Year of publication:
1993
Authors: Knight, Keith
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 9.1993, 04, p. 570-588
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005411735
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