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Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression

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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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Authors and Affiliations

  1. Faculty of Informatics, University of Debrecen, Egyetem tér 1, 4032, Debrecen, Hungary

    Sándor Baran & Gyula Pap

  2. Department of Mathematics, Astrophysics and Particle Physics, Radboud University Nijmegen, Toernooiveld 1, 6525 ED, Nijmegen, The Netherlands

    Martien C. A. van Zuijlen

Authors
  1. Sándor Baran
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  2. Gyula Pap
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  3. Martien C. A. van Zuijlen
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Correspondence to Martien C. A. van Zuijlen.

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Baran, S., Pap, G. & van Zuijlen, M.C.A. Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression. Acta Appl Math 96, 17–42 (2007). https://doi.org/10.1007/s10440-007-9097-y

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  • DOI: https://doi.org/10.1007/s10440-007-9097-y

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