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Testing for Unit Roots With Missing Observations

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Abstract

This paper considers unit root testing of time-series data with missing observations. Three procedures for dealing with the gaps are discussed. These include: ignoring the gaps, replacing the gaps with the last available observation, and filling the gaps with a linear interpolation method. The tests for the first two procedures yield test statistics which have the same asymptotic distribution as that tabulated by Dickey and Fuller (1979) for the complete data situation. The remaining procedure yields a test statistic that has an asymptotic distribution that differs from Dickey and Fuller’s tabulated distribution by an adjustment factor. In addition, models that include an ARIMA (0,1,q) error and augmented Dickey-Fuller tests are also considered in this paper. A simulation experiment is performed for the above models using the A-B sampling scheme. The results show that ignoring gaps in time- series data with missing observations produces unit root tests that are more powerful than the other two approaches that are considered.

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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Department Discussion Papers with number 9802.

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Length: 40 pages
Date of creation: 01 Apr 1998
Date of revision:
Publication status: Forthcoming in T. B. Fomby & R. Carter Hill (eds.), "Advances in Econometrics" (JAI Press, 1998).
Handle: RePEc:vic:vicddp:9802

Note: This paper was presented at the CEFES98 Meetings, Cambridge, U.K., June 1998, & at the 3rd Meeting of the New Zealand Econometric Study Group, Auckland, July 1998.
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Keywords: Unit Roots; Dickey-Fuller Test; Missing Data;

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  1. Unit Root Tests With Missing Observations
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-01 20:13:00
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Cited by:
  1. Markus Eberhardt & Francis Teal, 2010. "Productivity Analysis in Global Manufacturing Production," DEGIT Conference Papers c015_019, DEGIT, Dynamics, Economic Growth, and International Trade.
  2. Eberhardt, Markus & Teal, Francis, 2008. "Modeling technology and technological change in manufacturing: how do countries differ?," MPRA Paper 10690, University Library of Munich, Germany.

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