Likelihood ratio type unit root tests for ar(1)models with nonconsecutive observations

DOI10.1080/03610929408831329zbMath0825.62157OpenAlexW2041034890MaRDI QIDQ4843810

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Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929408831329

zbMATH Keywords

Monte Carlo studylikelihood ratiounit rootautoregressive modelnonstationaritylarge samplemissing or unequally spaced data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• A functional central limit theorem for weakly dependent sequences of random variables
• Fitting autoregression with regularly missed observations
• A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Estimation of a time series model from unequally spaced data
• Asymptotic distribution of parameter estimators for nonconsecutively observed time series
• Testing for a unit root in time series regression
• Estimation of Time Series Models in the Presence of Missing Data
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Time Series Regression with a Unit Root

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