Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance

被引：0

作者：

Wang, Xiaochen ^{[1
]}

Tang, Xiaolong ^{[2
]}

Song, Yuping ^{[2
]}

机构：

[1] Shanghai Normal Univ, Coll Math & Sci, Shanghai, Peoples R China

[2] Shanghai Normal Univ, Sch Finance & Business, Shanghai, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2024年 / 53卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Autoregressive model; moderate deviations from a unit root model; M-estimator; infinite variance; LIMIT THEORY;

D O I：

10.1080/03610926.2022.2150824

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, the M-estimator of the moderate deviations from a unit root model with possibly infinite variance errors is proposed. When the autoregressive coefficients are located on both sides of stationary and explosion, the asymptotic normal properties of the corresponding estimators for unknown parameters are proved, respectively. The asymptotic properties of the M-estimators are obtained in both the mildly integrated case and the mildly explosive case.

引用

页码：3169 / 3186

页数：18