Asymptotic inference for near unit roots in spatial autoregression
空间自回归中近单位根的渐近推断
Asymptotic inference for estimators of $(\alpha_n, \beta_n)$ in the spatial autoregressive model $Z_{ij}(n) = \alpha_n Z_{i-1, j}(n) + \beta_n Z_{i, j-1}(n) - \alpha_n \beta_n Z_{i-1, j-1}(n) + \varepsilon_{ij}$ is obtained when $\alpha_n$ and $\beta_n$ are near unit roots. When $\alpha_n$ and $\beta_n$ are reparameterized by $\alpha_n = e^{c/n}$ and $\beta_n = e^{d/n}$, it is shown that if the "one-step Gauss-Newton estimator" of $\lambda_1 \alpha_n + \lambda_2 \beta_n$ is…