Testing stability in a spatial unilateral autoregressive model |
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| Authors: | Sándor Baran Gyula Pap Kinga Sikolya |
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| Institution: | 1. Faculty of Informatics, University of Debrecen, Debrecen, Hungarybaran.sandor@inf.unideb.hu;3. Bolyai Institute, University of Szeged, Szeged, Hungary;4. Faculty of Informatics, University of Debrecen, Debrecen, Hungary |
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| Abstract: | ABSTRACTLeast squares estimator of the stability parameter ? ? |α| + |β| for a spatial unilateral autoregressive process Xk, ? = αXk ? 1, ? + βXk, ? ? 1 + ?k, ? is investigated and asymptotic normality with a scaling factor n5/4 is shown in the unstable case ? = 1. The result is in contrast to the unit root case of the AR(p) model Xk = α1Xk ? 1 + ??? + αpXk ? p + ?k, where the limiting distribution of the least squares estimator of the unit root parameter ? ? α1 + ??? + αp is not normal. |
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| Keywords: | Spatial unilateral autoregressive process Unstable model Unit root test |
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