TY - JOUR
T1 - LM tests for unit roots in the presence of missing observations
T2 - Small sample evidence
AU - Toda, Hiro Y.
AU - McKenzie, C. R.
N1 - Funding Information:
The authors would like to thank Michael McAleer and participants at the Second Meeting of the Kansai Quantitative Analysis Study Group for their helpful comments. The second author wishes to acknowledge the financial support of The Kikawada Foundation and the Faculty of Economics Fortieth Anniversary Program, Osaka University, and travel grants provided by the Japanese Ministry of Education and the Nomura Fund to Promote Science.
PY - 1999/6
Y1 - 1999/6
N2 - 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.
AB - 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.
KW - Lagrange Multiplier test
KW - Missing observations
KW - Monte Carlo simulation
KW - Serial correlation
KW - Stationarity
KW - Unit roots
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U2 - 10.1016/S0378-4754(99)00025-7
DO - 10.1016/S0378-4754(99)00025-7
M3 - Article
AN - SCOPUS:0346398189
SN - 0378-4754
VL - 48
SP - 457
EP - 468
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
IS - 4-6
ER -