Parameter estimation in a spatial unilateral unit root autoregressive model

Sándor Baran and Gyula Pap

Journal of Multivariate Analysis, 2012, vol. 107, issue C, 282-305

Abstract: Spatial unilateral autoregressive model Xk,ℓ=αXk−1,ℓ+βXk,ℓ−1+γXk−1,ℓ−1+εk,ℓ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices (1,1,−1), (1,−1,1), (−1,1,1) and (−1,−1,−1). It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is n when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is n3/2.

Keywords: Spatial unilateral autoregressive processes; Unit root models (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.01.022

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