Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression

Authors: Baran, Sándor; Pap, Gyula; Zuijlen, Martien

Source: Acta Applicandae Mathematicae, Volume 96, Numbers 1-3, May 2007 , pp. 17-42(26)

Publisher: Springer

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Abstract:

A spatial autoregressive process with two parameters is investigated both in the stable and in the unstable case. It is shown that the limiting distribution of the least squares estimator of these parameters is normal and the rate of convergence is n ^3/2 if one of the key parameters equals zero and n otherwise.

Keywords: Spatial autoregressive processes; Unit root models

Document Type: Research article

DOI: http://dx.doi.org/10.1007/s10440-007-9097-y

Affiliations: 1: Email: zuijlen@sci.kun.nl

Publication date: 2007-05-01