GeneralM-Estimation,

In this paper, a general form ofM-estimation is proposed and some asymptotics are investigated. The model covers all linear and nonlinear regression models, AR time series, EIVR models, etc. as its special cases. The dispersion functions may be convex or differences of convex functions, the later covers almost all useful choices of the dispersion functions.

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Year of publication:	1997
Authors:	Bai, Z. D. ; Wu, Y
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 63.1997, 1, p. 119-135
Publisher:	Elsevier
Subject:	GeneralM-estimation asymptotics multivariate linear model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152901