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Testing for a unit root in an AR(1) time series using irregularly observed data

Title
Testing for a unit root in an AR(1) time series using irregularly observed data
Authors
Dong W.S.Sarkar S.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
1996
Journal Title
Journal of Time Series Analysis
ISSN
0143-9782JCR Link
Citation
Journal of Time Series Analysis vol. 17, no. 3, pp. 309 - 321
Indexed
SCI; SCIE; SCOPUS scopus
Document Type
Article
Abstract
For an AR(1) model having a unit root with nonconsecutively observed or missing data we consider the ordinary least squares estimator, the one-step Newton-Raphson estimator and an ordinary least squares type estimator which is a simple approximation of the Newton-Raphson estimator. It is shown that the limiting distributions of these estimators of the unit root are the same as those of the regression estimators as tabulated by Dickey and Fuller (Distribution of the estimators for autoregressive time series with a unit root. J. Am. Statist. Assoc. 74 (1979), 427-31) for the complete data situation. Simulation results show that our proposed unit root tests perform very well for small samples.
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자연과학대학 > 통계학전공 > Journal papers
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