On unit roots for spatial autoregressive models

Testing for Seasonal Unit Roots in Periodic Integrated Autoregressive Processes

Explosive Roots in Level Vector Autoregressive Models ∗

Level vector autoregressive (VAR) models are used extensively in empirical macroeconomic research. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. This paper investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary...

Specification Test for Spatial Autoregressive Models

This paper considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix  is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove th...

A Selection Criterion for Spatial Autoregressive Models

Riassunto La scelta tra modelli autoregressivi spaziali richiede non solo l’individuazione delle coordinate non nulle di un modello “saturo”, ma anche la specificazione della struttura di vicinato tra le osservazioni. Si considera un criterio di scelta di tipo BIC, basato su una funzione di pseudo-verosimiglianza penalizzata. Il criterio è (debolmente) consistente sotto ipotesi assai generali. ...

On RA and GM Estimates for Spatial Autoregressive Models

This paper is concerned with the computational implementation of the robust RA estimates for spatial autoregressive (AR-2D) models with three parameters. The computational behavior of the RA estimators for AR-2D models which depends on the number of parameters in the model, has been studied for those models containing at most two parameters. A simulation study is carried out to compare the rela...