Testing stability in a spatial unilateral autoregressive model

DOI10.1080/03610926.2013.853792MaRDI QIDQ2807740zbMATH OpenOpenAlexFDO

Authors Gyula Pap, Kinga Sikolya, Sándor Baran

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.4346

zbMATH Keywords

unit root testspatial unilateral autoregressive processunstable model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Abstract: Least squares estimator of the stability parameter $$ for a spatial unilateral autoregressive process $$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $varrho=1$, in contrast to the AR(p) model $X_k=alph{a}_1{X}_{k-1}+\mathrm{...}+alph{a}_p{X}_{k-p}+varepsilo{n}_k$, where the least squares estimator of the stability parameter $varrho:=alph{a}_1+\mathrm{...}+alph{a}_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• On the correlation structure of some two-dimensional stationary processes
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Cited in

(4)

• Parameter estimation in a spatial unilateral unit root autoregressive model
• On unit roots for spatial autoregressive models
• On the least squares estimator in a nearly unstable sequence of stationary spatial AR models
• Asymptotic inference for an unstable spatial AR model

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