It is well known that conventional Wald-type inference in the context of quantile regression is complicated by the need to construct estimates of the conditional densities of the response variables at the quantile of interest. This note explores the possibility of circumventing the need to...

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...

We consider the limiting distributions of <italic>M</italic>-estimates of an “autoregressive” parameter when the observations come from an integrated linear process with infinite variance innovations. It is shown that <italic>M</italic>-estimates are, asymptotically, infinitely more efficient than the least-squares estimator...