TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA

DOI10.1111/j.1467-9892.1996.tb00278.xzbMath0888.62089MaRDI QIDQ4892828

Sahadeb Sarkar, Dong Wan Shin

Publication date: 8 June 1998

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00278.x

zbMATH Keywords

Monte Carlo study; unit root; autoregressive model; missing data; large sample; unequally spaced data; Newton-Raphson estimator

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

65C05: Monte Carlo methods

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Unit root tests for time series with outliers

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