Title

Testing for unit roots in a nearly nonstationary spatial autoregressive process

Authors

Authors

B. B. Bhattacharyya; X. Li; M. Pensky;G. D. Richardson

Comments

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Abbreviated Journal Title

Ann. Inst. Stat. Math.

Keywords

first-order autoregressive process; unit roots; nearly nonstationary; periodogram ordinate; local Pitman-type alternatives; Ornstein-Uhlenbeck; process; ASYMPTOTIC INFERENCE; TIME-SERIES; Statistics & Probability

Abstract

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.

Journal Title

Annals of the Institute of Statistical Mathematics

Volume

52

Issue/Number

1

Publication Date

1-1-2000

Document Type

Article

Language

English

First Page

71

Last Page

83

WOS Identifier

WOS:000086965600006

ISSN

0020-3157

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