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On the asymptotic normality of estimates in the nearly non-stationary AR(1) models

✍ Scribed by K. Kubilius; A. Račkauskas

Publisher
Springer
Year
1996
Tongue
English
Weight
599 KB
Volume
36
Category
Article
ISSN
0363-1672

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✍ Ana Bianco; Graciela Boente 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 205 KB

The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates deÿned as the solution of an implicit equation, such as the MM-estimates.