Abstract
For the nonconsecutively observed or missing data situation likelihood ratio type unit root tests in AR(1) models containing an intercept or both an intercept and a time trend are proposed and are shown to have the same limiting distributions as the likelihood ratio tests for the complete data case as tabulated by Dickey and Fuller (1981). Some simulation results on our tests in finite samples under A—B sampling schemes are also presented.
Original language | English |
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Pages (from-to) | 1387-1397 |
Number of pages | 11 |
Journal | Communications in Statistics - Theory and Methods |
Volume | 23 |
Issue number | 5 |
DOIs | |
State | Published - 1 Jan 1994 |
Keywords
- Autoregressive model
- Monte Carlo study
- large sample
- likelihood ratio
- missing or unequally spaced data
- nonstationarity
- unit root