Abstract #301788

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JSM 2002 Abstract #301788
Activity Number: 179
Type: Contributed
Date/Time: Tuesday, August 13, 2002 : 8:30 AM to 10:20 AM
Sponsor: General Methodology
Abstract - #301788
Title: Unit Root Test for Spatial Quadrant Autoregressive Process
Author(s): Arghya Ganguli*+ and Marc Genton and David Dickey
Affiliation(s): North Carolina State University and North Carolina State University and North Carolina State University
Address: 1713 Crest Road Apt # 5, Raleigh, North Carolina, 27606, USA
Keywords: Autoregressive (AR) ; Quadrant Autoregressive (QAR) ; Spatial ; Unit root test
Abstract:

In this paper, we extend the classical unit root test for time series autoregressive process to quadrant autoregressive process in space. In the first order case, the maximum likelihood estimator is the ratio of two quadratic forms in the data vector. We investigate its distribution under the unit root assumption. The power of the test is analyzed with Monte Carlo simulation.

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