Asymptotic Inference for Unit Roots in Spatial Triangular Autoregression
نویسندگان
چکیده
منابع مشابه
Unit Root Quantile Autoregression Inference
We study statistical inference in quantile autoregression models when the largest autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression estimator and its t-statistic is derived. The asymptotic distribution is not the conventional Dickey-Fuller distribution, but a linear combination of the Dickey-Fuller distribution and the standard normal, with the weig...
متن کاملAsymptotic inference for an unstable triangular spatial AR model
A spatial autoregressive process is investigated, where the autoregressive coefficients are equal, and their sum is one. It is shown that the limiting distribution of the least squares estimator for this coefficient is normal and, in contrast to the doubly geometric process, the rate of convergence is n−5/4.
متن کاملUniform Asymptotic Normality in Stationary and Unit Root Autoregression
While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly mechanism for preserving information and signal strength in autoregressions with some very desirable ...
متن کاملAsymptotic Inference for Spatial CDFs over Time
A spatial cumulative distribution function (SCDF) is a random function that provides a statistical summary of a random process over a spatial domain of interest. In this paper, we consider a spatio-temporal process and establish statistical methodology to analyze changes in the SCDF over time. We develop hypothesis testing to detect a difference in the spatial random processes at two time point...
متن کاملUniform Inference in Panel Autoregression∗
This paper considers estimation and inference concerning the autoregressive coefficient (ρ) in a panel autoregression for which the degree of persistence in the time dimension is unknown. The main objective is to construct confidence intervals for ρ that are asymptotically valid, having asymptotic coverage probability at least that of the nominal level uniformly over the parameter space. It is ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Acta Applicandae Mathematicae
سال: 2007
ISSN: 0167-8019,1572-9036
DOI: 10.1007/s10440-007-9097-y