Testing stability in a spatial unilateral autoregressive model

Abstract

Least squares estimator of the stability parameter $\varrho := |α| + |β|$ for a spatial unilateral autoregressive process $X_{k,\ell}=αX_{k-1,\ell}+βX_{k,\ell-1}+\varepsilon_{k,\ell}$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $\varrho = 1$, in contrast to the AR(p) model $X_k=α_1 X_{k-1}+... +α_p X_{k-p}+ \varepsilon_k$, where the least squares estimator of the stability parameter $\varrho :=α_1 + ... + α_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.