Testing for unit roots in a nearly nonstationary spatial autoregressive process
Abbreviated Journal Title
Ann. Inst. Stat. Math.
first-order autoregressive process; unit roots; nearly nonstationary; periodogram ordinate; local Pitman-type alternatives; Ornstein-Uhlenbeck; process; ASYMPTOTIC INFERENCE; TIME-SERIES; Statistics & Probability
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in the first-order autoregressive model Z(st) = alpha Z(s-1,t) + beta Z(s,t - 1) - alpha beta Z(s-1,t-1) + epsilon(st). Moreover, for the sequence alpha(n) = e(c/n), beta(n) = e(d/n) of local Pitman-type alternatives, the limiting distribution of the normalized periodogram ordinate is shown to be a linear combination of two independent chi-square random variables whose coefficients depend on c and d. This result is used to tabulate the asymptotic power of a test for various values of c and d. A comparison is made between the periodogram test and a spatial domain test.
Annals of the Institute of Statistical Mathematics
"Testing for unit roots in a nearly nonstationary spatial autoregressive process" (2000). Faculty Bibliography 2000s. 2438.