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

Dong Wan Shin; Sahadeb Sarkar

doi:10.1016/0167-7152(94)90103-1

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

Dong Wan Shin, Sahadeb Sarkar

Department of Statistics

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

10 Scopus citations

Abstract

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 language	English
Pages (from-to)	189-194
Number of pages	6
Journal	Statistics and Probability Letters
Volume	19
Issue number	3
DOIs	https://doi.org/10.1016/0167-7152(94)90103-1
State	Published - 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.

Keywords

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

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10.1016/0167-7152(94)90103-1

Cite this

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

abstract = "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.",

keywords = "Autoregressive moving average model, Monte Carlo study, instrumental variable estimation, large sample, 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 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.

AB - 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.

KW - Autoregressive moving average model

KW - Monte Carlo study

KW - instrumental variable estimation

KW - large sample

KW - missing or unequally spaced data

KW - nonstationarity

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

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

Abstract

Bibliographical note

Keywords

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