Asymptotic theory for LAD estimation of moderate deviations from a unit root

Zhiyong Zhou, Zhengyan Lin

Type: Article

Publication Date: 2014-03-26

Citations: 6

DOI: https://doi.org/10.1016/j.spl.2014.03.004

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Statistics & Probability Letters - View

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Works That Cite This (6)

Action	Title	Year	Authors
+	Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance	2022	Xiaochen Wang Xiaolong Tang Yuping Song
+	Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process	2014	明明于
+ PDF Chat	Least absolute deviation estimation for AR(1) processes with roots close to unity	2023	Nannan Ma Hailin Sang Guangyu Yang
+	Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process	2014	Mingming Yu Meng Jiao
+	Asymptotic inference of least absolute deviation estimation for AR(1) processes	2018	Xinghui Wang Huilong Wang Hongrui Wang Shuhe Hu
+	Asymptotic Properties of the M-estimation for an AR(1) Process with a General Autoregressive Coefficient	2023	Xinghui Wang Wenjing Geng Ruidong Han Qifa Xu

Works Cited by This (8)

Action	Title	Year	Authors
+	Asymptotics for Least Absolute Deviation Regression Estimators	1991	David Pollard
+	A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS	2007	Alexander Aue Lajos Horváth
+	Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors	1996	Miguel A. Herce
+	M-estimation for autoregressions with infinite variance	1992	Richard A. Davis Keith Knight Jian Liu
+ PDF Chat	Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models	2005	Shiqing Ling
+	Limit theory for autoregressive‐parameter estimates in an infinite‐variance random walk	1989	Keith Knight
+ PDF Chat	Mildly explosive autoregression under weak and strong dependence	2012	Tassos Magdalinos
+ PDF Chat	Limit theory for moderate deviations from a unit root	2005	Peter C.B. Phillips Tassos Magdalinos