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

DOI10.1016/0167-7152(94)90103-1zbMATH Open0795.62079OpenAlexW2040244985MaRDI QIDQ1324599FDOQ1324599

Authors: 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

Recommendations

• TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
• Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise
• Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach

zbMATH Keywords

Monte Carlo studyunit root testordinary least squares estimatorinstrumental variable estimationlarge samples\(\text{ARIMA}(0,1,q)\) 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)

Cites Work

• Title not available (Why is that?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• A functional central limit theorem for weakly dependent sequences of random variables
• Testing for unit roots in autoregressive-moving average models of unknown order
• Title not available (Why is that?)
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for a unit root in the presence of moving average errors
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise

Cited In (8)

• Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise
• TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
• Unit root testing in integer-valued AR(1) models
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• Parameter estimation in regression models with autocorrelated errors using irregular data
• Unit root tests for time series with outliers
• Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment

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