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

random fieldsunit rootautoregressive models

Mathematics Subject Classification ID

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

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Cites work

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• A Wold-like decomposition of two-dimensional discrete homogeneous random fields
• Aggregation of space-time processes.
• Asymptotic inference for unit roots in spatial triangular autoregression
• First-order intrinsic autoregressions and the de Wijs process
• Gauss-Newton estimation of parameters for a spatial autoregression model
• Intrinsic autoregressions and related models on the two-dimensional lattice
• Linear processes in function spaces. Theory and applications
• ON STATIONARY PROCESSES IN THE PLANE
• Prediction theory and Fourier series in several variables
• Prediction theory and Fourier series in several variables. II
• Spatial autoregression model: strong consistency.
• THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES

Cited in

(11)

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

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