Testing for a unit root in autoregressive processes with systematic but incomplete sampling

DOI10.1016/0167-7152(93)90214-4zbMath0788.62082OpenAlexW1965292978MaRDI QIDQ1314704

Sastry G. Pantula, Dong Wan Shin

Publication date: 7 March 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90214-4

zbMATH Keywords

Monte Carlo studyautoregressive modelpowersDickey-Fuller testsautoregressive moving average modelsystematic samplingunit root testARMA processestime series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)

Cites Work

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• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Hypothesis Testing in ARIMA(p, 1, q) Models

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