On the least squares estimator in a nearly unstable sequence of stationary spatial AR models

Sándor Baran; Gyula Pap

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arXiv · 0803.2486

On the least squares estimator in a nearly unstable sequence of stationary spatial AR models

Sándor Baran·Gyula Pap

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Abstract

A nearly unstable sequence of stationary spatial autoregressive processes is investigated, when the sum of the absolute values of the autoregressive coefficients tends to one. It is shown that after an appropriate norming the least squares estimator for these coefficients has a normal limit distribution. If none of the parameters equals zero than the typical rate of convergence is n.

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Sándor Baran, Gyula Pap. 2008-03-17. On the least squares estimator in a nearly unstable sequence of stationary spatial AR models. https://arxiv.org/abs/0803.2486

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