Testing Impact Measures in Spatial Autoregressive Models
نویسندگان
چکیده
منابع مشابه
Testing the tail index in autoregressive models
We propose a class of nonparametric tests on the Pareto tail index of the innovation distribution in the linear autoregressive model. The simulation study illustrates a good performance of the tests. Such tests have various applications in a study of flood flows, rainflow data, behavior of solids, atmospheric ozone layer and reliability analysis, in communication engineering, in stock markets a...
متن کاملSpatial Autocorrelation and Autoregressive Models in Ecology
Recognition and analysis of spatial autocorrelation has defined a new paradigm in ecology. Attention to spatial pattern can lead to insights that would have been otherwise overlooked, while ignoring space may lead to false conclusions about ecological relationships. We used Gaussian spatial autoregressive models, fit with widely available software, to examine breeding habitat relationships for ...
متن کاملSpecification 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...
متن کاملA 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. ...
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 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: International Regional Science Review
سال: 2019
ISSN: 0160-0176,1552-6925
DOI: 10.1177/0160017619826264