Testing for Unit Roots in a Nearly Nonstationary Spatial Autoregressive Process

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作者
B. B. Bhattacharyya
X. Li
M. Pensky
G. D. Richardson
机构
[1] North Carolina State University,Department of Statistics
[2] University of Central Florida,Department of Mathematics
关键词
First-order autoregressive process; unit roots; nearly non-stationary; periodogram ordinate; local Pitman-type alternatives; Ornstein-Uhlenbeck process;
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摘要
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in the first-order autoregressive model Ζst=α Ζs-1,t+βΖs,t-1-αβ Ζs-1,t-1+ɛst. 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.
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页码:71 / 83
页数:12
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