On unit roots for spatial autoregressive models

DOI10.1016/J.JMVA.2006.08.001MaRDI QIDQ860343zbMATH OpenOpenAlexFDO

Authors V. Paulauskas

Publication date 9 January 2007

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2006.08.001

zbMATH Keywords

autoregressive modelsrandom fieldsunit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Spatial models in economics (91B72)

Review text

We consider the unit root problem for one rather simple autoregressive model, \[ Y_{t,s}=aY_{t-1,s}+bY_{t,s-1}+\varepsilon_{t,s}, \] on a two-dimensional lattice. We show that the growth of variance of \(Y_{t,s}\) is essentially different from the 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 an autoregressive field on a d-dimensional lattice is different for \(d=2,3\) and \(d\geq 4\).

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Cites work

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Cited in

(12)

• On the least squares estimator in a nearly unstable sequence of stationary spatial AR models
• Asymptotic inference for near unit roots in spatial autoregression
• Unit roots test: spatial model with long memory errors
• A note on self-normalization for a simple spatial autoregressive model
• Testing stability in a spatial unilateral autoregressive model
• Parameter estimation in a spatial unilateral unit root autoregressive model
• Power properties of invariant tests for spatial autocorrelation in linear regression
• Efficiency of the OLS estimator in the vicinity of a spatial unit root
• A general framework for spatial GARCH models
• On the variances of a spatial unit root model
• First-order planar autoregressive model
• Asymptotic inference for unit roots in spatial triangular autoregression

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