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

摘要

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 normalization the least squares estimator for these coefficients has a normal limit distribution. If none of the parameters equals zero then the typical rate of convergence is n. (C) 2008 Elsevier Inc. All rights reserved.