Abstract
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.
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Acknowledgement
This research work is supported by National Natural Science Foundation of China (11901397, 71973098), Youth Academic Backbone Cultivation Project of Shanghai Normal University (310-AC7031-19-003021), General Research Fund of Shanghai Normal University (SK201720) and Key Subject of Quantitative Economics of Shanghai Normal University (310-AC7031-19-004221) and Academic Innovation Team of Shanghai Normal University (310-AC7031-19-004228).
Disclosure statement
The authors declare no conflict of interest.