| Abstract: | We study the asymptotic distribution of Yule-Walker and least squares estimators for two-dimensional autoregressive (AR) processes. Explicit expressions for the asymptotic bias of Yule-Walker estimators and Tjøstheim's least squares estimators (1983) are obtained for AR(p1, p2) processes. The bias in the Yule-Walker estimators disappears if we use the so-called unbiased sample autocovariance function and the usual least squares estimators are also asymptotically unbiased. The extent of the biases in small and moderate samples is studied via simulation. |
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