On unit roots for spatial autoregressive models

Vygantas Paulauskas

Journal of Multivariate Analysis, 2007, vol. 98, issue 1, 209-226

Abstract: In this paper we consider the unit root problem for one rather simple autoregressive model Yt,s=aYt-1,s+bYt,s-1+[var epsilon]t,s on a two-dimensional lattice. We show that the growth of variance of Yt,s is essentially different from corresponding growth in the unit root case for AR(1) or AR(2) time series models. We also show that the dimension of the lattice plays an important role: the growth of variance of autoregressive field on a d-dimensional lattice is different for d=2,3 and d>=4.

Keywords: Autoregressive; models; Unit; root; Random; fields (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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