Spatial autoregression model: strong consistency

B. B. Bhattacharyya, J. -J. Ren, G. D. Richardson and J. Zhang

Statistics & Probability Letters, 2003, vol. 65, issue 2, 71-77

Abstract: Let denote the Gauss-Newton estimator of the parameter ([alpha],[beta]) in the autoregression model Zij=[alpha]Zi-1,j+[beta]Zi,j-1-[alpha][beta]Zi-1,j-1+[var epsilon]ij. It is shown in an earlier paper that when converges in distribution to a bivariate normal random vector. A two-parameter strong martingale convergence theorem is employed here to prove that almost surely when .

Keywords: Spatial; autoregression; Unit; roots; Two-parameter; martingale (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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