Testing stability in a spatial unilateral autoregressive model
نویسنده
چکیده
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 estimator of the unit root parameter ̺ := α1 + · · · + αp is not normal.
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تاریخ انتشار 2013