Unit roots test: spatial model with long memory errors

DOI10.1016/J.SPL.2018.05.003MaRDI QIDQ1644197zbMATH OpenOpenAlexWikidataFDO

Authors Nathaniel Adu, Gary Richardson

Publication date 21 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.05.003

zbMATH Keywords

autoregressive spatial processfractional Brownian sheetlimiting distributionunit roots

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cites work

• A multivariate stochastic unit root model with an application to derivative pricing
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
• A subclass of lattice processes applied to a problem in planar sampling
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• Cameron-Martin Translation Theorems in the Wiener Space of Functions of Two Variables
• Central limit theorem for Fourier transform and periodogram of random fields
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• scientific article; zbMATH DE number 3127712 (Why is no real title available?)
• scientific article; zbMATH DE number 934080 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Invariance principles for self-similar set-indexed random fields
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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• Stochastic-Process Limits
• Testing for unit roots in a nearly nonstationary spatial autoregressive process
• Unit root inference for non-stationary linear processes driven by infinite variance innovations

Cited in

(7)

• Testing for unit roots in a nearly nonstationary spatial autoregressive process
• Periodogram ordinate: spatial model with near unit roots and dependent errors
• Unit roots: periodogram ordinate
• Testing for a unit root under errors with just barely infinite variance
• Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet
• First-order planar autoregressive model
• On unit roots for spatial autoregressive models

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