Details

Autor(en) / Beteiligte

• Baran, Sándor
• Pap, Gyula

Titel

Parameter estimation in a spatial unilateral unit root autoregressive model

Ist Teil von

• Journal of multivariate analysis, 2012-05, Vol.107, p.282-305

Ort / Verlag

New York: Elsevier Inc

Erscheinungsjahr

2012

Link zum Volltext

Quelle

Free E-Journal (出版社公開部分のみ）

Beschreibungen/Notizen

• Spatial unilateral autoregressive model Xk,ℓ=αXk−1,ℓ+βXk,ℓ−1+γXk−1,ℓ−1+εk,ℓ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices (1,1,−1), (1,−1,1), (−1,1,1) and (−1,−1,−1). It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is n when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is n3/2.