Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data
Dong Wan Shin and
Sahadeb Sarkar
Journal of Time Series Analysis, 1998, vol. 19, issue 5, 601-608
Abstract:
Testing for a single autoregressive unit root in an autoregressive moving‐average (ARMA) model is considered in the case when data contain missing values. The proposed test statistics are based on an ordinary least squares type estimator of the unit root parameter which is a simple approximation of the one‐step Newton–Raphson estimator. The limiting distributions of the test statistics are the same as those of the regression statistics in AR(1) models tabulated by Dickey and Fuller (Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74 (1979), 427–31) for the complete data situation. The tests accommodate models with a fitted intercept and a fitted time trend.
Date: 1998
References: Add references at CitEc
Citations:
Downloads: (external link)
https://doi.org/10.1111/1467-9892.00111
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:5:p:601-608
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782
Access Statistics for this article
Journal of Time Series Analysis is currently edited by M.B. Priestley
More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().