Testing stability in a spatial unilateral autoregressive model

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Testing stability in a spatial unilateral autoregressive model

Least squares estimator of the stability parameter ̺ := |α|+ |β| for a spatial unilateral autoregressive process Xk,l = αXk−1,l +βXk,l−1 +εk,l 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+εk, where the limiting distribution of the least squares e...

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ژورنال

عنوان ژورنال: Communications in Statistics - Theory and Methods

سال: 2016

ISSN: 0361-0926,1532-415X

DOI: 10.1080/03610926.2013.853792