Likelihood ratio type unit root tests for ar(1) models with nonconsecutive observations

Dong Wan Shin, Sahadeb Sarkar

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

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 languageEnglish
Pages (from-to)1387-1397
Number of pages11
JournalCommunications in Statistics - Theory and Methods
Volume23
Issue number5
DOIs
StatePublished - 1 Jan 1994

Keywords

  • Autoregressive model
  • large sample
  • likelihood ratio
  • missing or unequally spaced data
  • Monte Carlo study
  • nonstationarity
  • unit root

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