PARAMETER ESTIMATION OF UNIT ROOT PROCESSES WITH MISSING OBSERVATIONS

DOI10.14490/jjss1995.29.181zbMath0952.62082MaRDI QIDQ4500632

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

missing observations; unit root test; nonstationary time series; unit root processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M05: Markov processes: estimation; hidden Markov models

91B84: Economic time series analysis

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