Asymptotic inference for a nearly unstable sequence of stationary spatial AR models

Sándor Baran, Gyula Pap and Martien C. A. van Zuijlen

Statistics & Probability Letters, 2004, vol. 69, issue 1, 53-61

Abstract: A nearly unstable sequence of stationary spatial autoregressive processes is investigated, where the autoregressive coefficients are equal, and their sum tends to one. It is shown that the limiting distribution of the least-squares estimator for this coefficient is normal and, in contrast to the doubly geometric process, the typical rate of convergence is n-5/4.

Keywords: Autoregressive; model; Asymptotic; normality; Martingale; central; limit; theorem (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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