Economics at your fingertips  

Testing for Unit Roots With Missing Observations

Kevin F. Ryan and David Giles ()

No 9802, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: This paper considers unit root testing of time-series data with missing observations. Three procedures for dealing with the gaps are discussed. These include: ignoring the gaps, replacing the gaps with the last available observation, and filling the gaps with a linear interpolation method. The tests for the first two procedures yield test statistics which have the same asymptotic distribution as that tabulated by Dickey and Fuller (1979) for the complete data situation. The remaining procedure yields a test statistic that has an asymptotic distribution that differs from Dickey and Fuller’s tabulated distribution by an adjustment factor. In addition, models that include an ARIMA (0,1,q) error and augmented Dickey-Fuller tests are also considered in this paper. A simulation experiment is performed for the above models using the A-B sampling scheme. The results show that ignoring gaps in time- series data with missing observations produces unit root tests that are more powerful than the other two approaches that are considered.

Keywords: Unit Roots; Dickey-Fuller Test; Missing Data (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-ets
Date: 1998-04-01
Note: ISSN 1485-6441. This paper was presented at the CEFES98 Meetings, Cambridge, U.K., June 1998, & at the 3rd Meeting of the New Zealand Econometric Study Group, Auckland, July 1998.
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Published in T. B. Fomby & R. Carter Hill (eds.), "Advances in Econometrics" (JAI Press, 1998).

Downloads: (external link) (application/pdf)

Related works:
Working Paper: Testing for Unit Roots With Missing Observations (1998) Downloads
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:

Access Statistics for this paper

More papers in Econometrics Working Papers from Department of Economics, University of Victoria PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2. Contact information at EDIRC.
Bibliographic data for series maintained by Graham Voss ().

Page updated 2019-09-18
Handle: RePEc:vic:vicewp:9802