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Estimation in Dynamic Linear Regression Models with Infinite Variance Errors

Published online by Cambridge University Press:  11 February 2009

Keith Knight
Keith Knight
Affiliation:
University of Toronto
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Abstract

This paper considers the asymptotic behavior of M-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 to the exogenous regressors are asymptotically normal and converge to the true values at the standard n−½ rate.

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 4 , August 1993 , pp. 570 - 588
Copyright
Copyright © Cambridge University Press 1993

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