Parameter estimation in a spatial unilateral unit root autoregressive model
نویسندگان
چکیده
منابع مشابه
Jackknife Estimation in Autoregressive Models with a Unit Root∗
This paper examines the performance of the jackknife resampling method in unit root autoregression. Two different sub-sampling methods used for deriving jackknife estimators are considered: the first one employs non-overlapping subgroups, while the second one uses moving blocks of observations. In the case of a pure random walk, from the second subgroup onwards, the associated initial condition...
متن کاملTesting 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...
متن کاملMedian-Unbiased Estimation of Higher Order Autoregressive/Unit Root Processes and Autocorrelation Consistent Covariance Estimation in a Money Demand Model
It is shown that the Newey-West (1987) Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix estimator can greatly understate the standard errors of OLS regression coefficient estimates in finite samples, and therefore comparably overstate t-statistics. Although the bias vanishes in infinite samples and is tolerable in samples as small as 10, it can lead to t-statistics that...
متن کاملEstimation in Threshold Autoregressive Models with a Stationary and a Unit Root Regime
This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity can be removed by differencing and/or where the threshold variable is stationary. This is not the case for the process we consider, and nonstandard ...
متن کاملEfficient Tests for an Autoregressive Unit Root
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
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: Journal of Multivariate Analysis
سال: 2012
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.01.022