Estimation in Dynamic Linear Regression Models with Infinite Variance Errors
研究了误差项具有无限二阶矩时动态线性回归模型中M估计的渐近性质，发现外生回归变量对应的参数估计仍保持渐近正态性和标准收敛速度。
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.