Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression

Baran, Sándor and Pap, Gyula and Zuijlen, Martien C. A. (2007) Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression. Acta Applicandae Mathematicae, 96 (1-3). pp. 17-42. ISSN 0167-8019

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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.

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