How to undertake statistical inference for infinite variance autoregressive models has been a long-standing open problem. To solve this problem, we propose a self-weighted least absolute deviation estimator and show that this estimator is asymptotically normal if the density of errors and its...

The paper considers the double-autoregressive model "y"_"t" &equals; "φ""y"_{"t" - 1}&plus;"&epsiv;"_"t" with "&epsiv;"_"t" &equals;<formula format="inline"><file name="rssb_432_mu1.gif" type="gif" /></formula>. Consistency and asymptotic normality of the estimated parameters are proved under the condition "E" ln |"φ" &plus;√"&agr;""η"_{"t"</ sub>|0, which includes the cases with |"φ"|&equals;1 or |"φ"|1 as well...<//>}