On unit roots for spatial autoregressive models
In this paper we consider the unit root problem for one rather simple autoregressive model Yt,s=aYt-1,s+bYt,s-1+[var epsilon]t,s on a two-dimensional lattice. We show that the growth of variance of Yt,s is essentially different from corresponding growth in the unit root case for AR(1) or AR(2) time series models. We also show that the dimension of the lattice plays an important role: the growth of variance of autoregressive field on a d-dimensional lattice is different for d=2,3 and d>=4.
Volume (Year): 98 (2007)
Issue (Month): 1 (January)
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- Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
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