Koul, Hira L.; Baillie, Richard T. - In: Statistics & Probability Letters 61 (2003) 3, pp. 237-252
This paper derives the asymptotic distribution of a class of M-estimators in a family of non-linear regression models when the errors and the design variables are long memory moving averages. The class of estimators includes analogs of the least square, least absolute deviation and the Huber(c)...