Testing for a unit root in autoregressive processes with systematic but incomplete sampling

Dongwan Shin; Sastry G. Pantula

doi:10.1016/0167-7152(93)90214-4

Testing for a unit root in autoregressive processes with systematic but incomplete sampling

Dongwan Shin, Sastry G. Pantula

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We discuss the problem of testing for a unit root in an autoregressive model where the data are available only from every mth period, where m is some positive integer. We show that the data from systematic sampling follow an autoregressive moving average model. We compare the performance of different unit root test criteria that are appropriate for this situation. A Monte Carlo study is used to compare the powers of different test criteria.

Original language	English
Pages (from-to)	183-190
Number of pages	8
Journal	Statistics and Probability Letters
Volume	18
Issue number	3
DOIs	https://doi.org/10.1016/0167-7152(93)90214-4
State	Published - 15 Oct 1993

Keywords

ARMA processes
Dickey-Fuller tests
systematic sampling

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10.1016/0167-7152(93)90214-4

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AB - We discuss the problem of testing for a unit root in an autoregressive model where the data are available only from every mth period, where m is some positive integer. We show that the data from systematic sampling follow an autoregressive moving average model. We compare the performance of different unit root test criteria that are appropriate for this situation. A Monte Carlo study is used to compare the powers of different test criteria.

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Testing for a unit root in autoregressive processes with systematic but incomplete sampling

Abstract

Keywords

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