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

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  • Shin, Dongwan
  • Pantula, Sastry G.

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.

Suggested Citation

  • Shin, Dongwan & Pantula, Sastry G., 1993. "Testing for a unit root in autoregressive processes with systematic but incomplete sampling," Statistics & Probability Letters, Elsevier, vol. 18(3), pages 183-190, October.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:3:p:183-190
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