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Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations |
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| Authors: | Dong Wah Shin Sahadeb Sarkar |
| Institution: | 1. Department of Applied Statistics , University of Suwon , Suwon, Republic of Korea;2. Department of Statistics , Oklahoma State University , Stillwater, OK, 74078, USA |
| Abstract: | For the nonconsecutively observed or missing data situation likelihood ratio type unit root tests in AR(1)models containing an intercept or both an intercept and a time trend are proposed and are shown to have the same limiting distributions as the likelihood ratio tests for the complete data case as tabulated by Dickey and Fuller(1981). Some simulation results on our tests in finite samples under A–B sampling schemes are also presented. |
| Keywords: | Autoregressive model large sample likelihood ratio missing or unequally spaced data monte carlo study nonstationarity unit root |