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M-Estimation For A Spatial Unilateral Autoregressive Model With Infinite Variance Innovations

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  • Roknossadati, S.M.
  • Zarepour, M.

Abstract

We study the limiting behavior of the M-estimators of parameters for a spatial unilateral autoregressive model with independent and identically distributed innovations in the domain of attraction of a stable law with index α ∈ (0, 2]. Both stationary and unit root models and some extensions are considered. It is also shown that self-normalized M-estimators are asymptotically normal. A numerical example and a simulation study are also given.

Suggested Citation

  • Roknossadati, S.M. & Zarepour, M., 2010. "M-Estimation For A Spatial Unilateral Autoregressive Model With Infinite Variance Innovations," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1663-1682, December.
    • Handle: RePEc:cup:etheor:v:26:y:2010:i:06:p:1663-1682_99
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    Cited by:

    1. Abhimanyu Gupta & Javier Hidalgo, 2020. "Nonparametric prediction with spatial data," Papers 2008.04269, arXiv.org, revised Nov 2021.
    2. Gupta, Abhimanyu, 2018. "Autoregressive spatial spectral estimates," Journal of Econometrics, Elsevier, vol. 203(1), pages 80-95.
    3. Giuseppe Arbia, 2011. "A Lustrum of SEA: Recent Research Trends Following the Creation of the Spatial Econometrics Association (2007--2011)," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(4), pages 377-395, July.
    4. Badi H. Baltagi & Junjie Shu, 2024. "A Survey of Spatial Unit Roots," Mathematics, MDPI, vol. 12(7), pages 1-31, March.
    5. Martin Drapatz, 2016. "Strictly stationary solutions of spatial ARMA equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 385-412, April.
    6. Gupta, A, 2015. "Autoregressive Spatial Spectral Estimates," Economics Discussion Papers 14458, University of Essex, Department of Economics.

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