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)
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.
Document Type: Research article
Publication date: 2007-05-01