Title

Testing For Unit Roots In A Nearly Nonstationary Spatial Autoregressive Process

Keywords

First-order autoregressive process; Local Pitman-type alternatives; Nearly nonstationary; Ornstein-Uhlenbeck process; Periodogram ordinate; Unit roots

Abstract

The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in the first-order autoregressive model Zst = αZs-1,t + βZs,t-1 -αβZs-1,t-1 + εst. Moreover, for the sequence αn = ec/n, βn = ed/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.

Publication Date

1-1-2000

Publication Title

Annals of the Institute of Statistical Mathematics

Volume

52

Issue

1

Number of Pages

71-83

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1023/A:1004184932031

Socpus ID

6744219604 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/6744219604

This document is currently not available here.

Share

COinS