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Both stationary and unit root models and some extensions are considered. It is also shown that self-normalized<jats:italic>M<\/jats:italic>-estimators are asymptotically normal. A numerical example and a simulation study are also given.<\/jats:p>","DOI":"10.1017\/s0266466609990752","type":"journal-article","created":{"date-parts":[[2010,3,17]],"date-time":"2010-03-17T10:25:44Z","timestamp":1268821544000},"page":"1663-1682","source":"Crossref","is-referenced-by-count":9,"title":["<i>M<\/i>-ESTIMATION FOR A SPATIAL UNILATERAL AUTOREGRESSIVE MODEL WITH INFINITE VARIANCE INNOVATIONS"],"prefix":"10.1017","volume":"26","author":[{"given":"S.M.","family":"Roknossadati","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"M.","family":"Zarepour","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2010,3,17]]},"reference":[{"key":"S0266466609990752_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/0167-7152(95)00114-X"},{"key":"S0266466609990752_ref3","doi-asserted-by":"publisher","DOI":"10.2307\/1427527"},{"key":"S0266466609990752_ref1","unstructured":"Basu S. & Reinsel G.C. 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