PARAMETER ESTIMATION OF UNIT ROOT PROCESSES WITH MISSING OBSERVATIONS

DOI10.14490/JJSS1995.29.181MaRDI QIDQ4500632zbMATH OpenOpenAlexFDO

Authors Haruhisa Nishino, Yoshihiro Yajima

Publication date 11 January 2001

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss1995.29.181

zbMATH Keywords

unit root testnonstationary time seriesmissing observationsunit root processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Recommendations

• Moving average unit root test for data with missing observations
• LM tests for unit roots in the presence of missing observations: Small sample evidence
• TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
• Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data

Cited in

(3)

• Joint estimation of missed observations and parameters of linear controllable processes
• Test of random effects with incomplete panel data.
• Moving average unit root test for data with missing observations

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