Unit root tests for ARIMA(0, 1, q) models with irregularly observed samples

Dong Wan Shin, Sahadeb Sarkar

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For an ARIMA(0,1,q) model having an autoregressive unit root with an irregularly observed sample we propose a unit root test based on instrumental variable estimation. The test is shown to have the same asymptotic distribution as the ordinary least squares estimator of the unit root in an AR(1) model tabulated by Dickey and Fuller (J. Amer. Statist. 74 (1979) 427-431) for the complete data situation. Some simulation results for ARIMA(0,1,1) models under A-B sampling schemes and an illustrative example are given.

Original languageEnglish
Pages (from-to)189-194
Number of pages6
JournalStatistics and Probability Letters
Issue number3
StatePublished - 22 Feb 1994

Bibliographical note

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 Dean’s Incentive Grant from the College of Arts and Sciences at Oklahoma State University. The authors wish to thank the referee for several useful suggestions.


  • Autoregressive moving average model
  • Monte Carlo study
  • instrumental variable estimation
  • large sample
  • missing or unequally spaced data
  • nonstationarity
  • unit root


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