Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples

DOI10.1016/0167-7152(94)90103-1zbMath0795.62079OpenAlexW2040244985MaRDI QIDQ1324599

Sahadeb Sarkar, Dong Wan Shin

Publication date: 18 September 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90103-1

zbMATH Keywords

Monte Carlo studylarge samplesordinary least squares estimatorunit root testinstrumental variable estimation\(\text{ARIMA}(0,1,q)\) modelautoregressive unit rootirregularly observed samplemissing or unequally spaced data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Unit root tests for time series with outliers ⋮ Parameter estimation in regression models with autocorrelated errors using irregular data ⋮ TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA

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