LM tests for unit roots in the presence of missing observations: Small sample evidence

Hiro Y. Toda, C. R. McKenzie

研究成果: Article査読

2 被引用数 (Scopus)

抄録

The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a first-order autoregressive process for two types of null and alternative hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power properties of the tests are investigated using a Monte Carlo simulation.

本文言語English
ページ(範囲)457-468
ページ数12
ジャーナルMathematics and Computers in Simulation
48
4-6
DOI
出版ステータスPublished - 1999 6月
外部発表はい

ASJC Scopus subject areas

  • 理論的コンピュータサイエンス
  • コンピュータサイエンス一般
  • 数値解析
  • モデリングとシミュレーション
  • 応用数学

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