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

DOI10.1016/S0378-4754(99)00025-7zbMath0931.62082OpenAlexW2048937469MaRDI QIDQ1299890

Hiro Y. Toda, C. R. Mckenzie

Publication date: 16 September 1999

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(99)00025-7

zbMATH Keywords

Monte Carlo simulationmissing observationsserial correlationstationarityunit rootsLagrange multiplier test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Test of random effects with incomplete panel data.

Cites Work

• Unnamed Item
• A modification of the Schmidt-Phillips unit root test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Time Series Regression with a Unit Root

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