Download This PaperA Spatial Invariance Principle for Non-stationary Random Fields
24 Pages Posted: 18 Jun 2023
Date Written: June 16, 2023
Abstract
We obtain an invariance principle for the two-dimensional Brownian sheet where the underlying random field need not be independent or stationary. We also provide a basic demonstration of its application towards spatial unit root testing.
Keywords: Brownian sheet; m-dependent fields; Spatial unit root.
JEL Classification: C10
Suggested Citation: Suggested Citation
Tseng, Michael, A Spatial Invariance Principle for Non-stationary Random Fields (June 16, 2023). Available at SSRN: https://ssrn.com/abstract=4480712 or http://dx.doi.org/10.2139/ssrn.4480712
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