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


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
Issue number5
StatePublished - 1 Jan 1994

Bibliographical note

Funding Information:
Dean's Incentive Grant from the College of Arts and Sciences at Oklahoma State University.

Funding Information:
The research of the first author was supported by Korea Research Foundation. The research of the second author was partly supported by the


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


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