Abstract
We study the limiting behavior of theM-estimators of parameters for a spatial unilateral autoregressive model with independent and identically distributed innovations in the domain of attraction of a stable law with indexα∈ (0, 2]. Both stationary and unit root models and some extensions are considered. It is also shown that self-normalizedM-estimators are asymptotically normal. A numerical example and a simulation study are also given.
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