Moving average unit root test for data with missing observations

MaRDI QIDQ5252457zbMATH OpenFDO

Authors Haruhisa Nishino

Publication date 1 June 2015

Full work available at URL http://www.pphmj.com/abstract/8745.htm

zbMATH Keywords

asymptotic normalityLBIUMA unit rootscore-type testtime series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data
• Testing for a unit root in the presence of moving average errors
• LM tests for unit roots in the presence of missing observations: Small sample evidence
• PARAMETER ESTIMATION OF UNIT ROOT PROCESSES WITH MISSING OBSERVATIONS
• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS

Cited in

(3)

• LM tests for unit roots in the presence of missing observations: Small sample evidence
• Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data
• PARAMETER ESTIMATION OF UNIT ROOT PROCESSES WITH MISSING OBSERVATIONS

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