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

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.Comment: 26 pages To appear in: J. Multivariate Ana