Spatial Invariance Principle and Unit Root Testing
26 Pages Posted: 6 Sep 2019 Last revised: 23 Aug 2021
Date Written: August 30, 2019
We obtain an invariance principle for two-dimensional Brownian sheet where the underlying random field need not be independent or stationary. The invariance principle is applied to obtain and analyze a frequency-domain test for spatial unit root against local-to-unity alternatives.
Keywords: Brownian sheet, m-dependent fields, Spatial unit root.
JEL Classification: C10
Suggested Citation: Suggested Citation