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

Dong Wan Shin; Sahadeb Sarkar

doi:10.1080/03610929408831329

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

Dong Wan Shin, Sahadeb Sarkar

Department of Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	1387-1397
Number of pages	11
Journal	Communications in Statistics - Theory and Methods
Volume	23
Issue number	5
DOIs	https://doi.org/10.1080/03610929408831329
State	Published - 1 Jan 1994

Keywords

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

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10.1080/03610929408831329

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title = "Likelihood ratio type unit root tests for ar(1) models with nonconsecutive observations",

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.",

keywords = "Autoregressive model, Monte Carlo study, large sample, likelihood ratio, missing or unequally spaced data, nonstationarity, unit root",

author = "Shin, {Dong Wan} and Sahadeb Sarkar",

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AU - Sarkar, Sahadeb

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N2 - 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.

AB - 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.

KW - Autoregressive model

KW - Monte Carlo study

KW - large sample

KW - likelihood ratio

KW - missing or unequally spaced data

KW - nonstationarity

KW - unit root

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JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

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IS - 5

ER -

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

Abstract

Keywords

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