PARAMETER ESTIMATION OF UNIT ROOT PROCESSES WITH MISSING OBSERVATIONS

DOI10.14490/JJSS1995.29.181zbMATH Open0952.62082OpenAlexW2061034266MaRDI QIDQ4500632FDOQ4500632

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

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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)

Cited In (3)

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

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