Testing stability in a spatial unilateral autoregressive model

Sándor Baran, Gyula Pap and Kinga Sikolya

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 4, 933-949

Abstract: Least squares estimator of the stability parameter ϱ ≔ |α| + |β| for a spatial unilateral autoregressive process Xk, ℓ = αXk − 1, ℓ + βXk, ℓ − 1 + ϵk, ℓ is investigated and asymptotic normality with a scaling factor n5/4 is shown in the unstable case ϱ = 1. The result is in contrast to the unit root case of the AR(p) model Xk = α1Xk − 1 + ⋅⋅⋅ + αpXk − p + ϵk, where the limiting distribution of the least squares estimator of the unit root parameter ϱ ≔ α1 + ⋅⋅⋅ + αp is not normal.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2013.853792 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:45:y:2016:i:4:p:933-949

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2013.853792

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().