Unit root tests for ARIMA(0, 1, q) models with irregularly observed samples
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.
Volume (Year): 19 (1994)
Issue (Month): 3 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:19:y:1994:i:3:p:189-194. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.