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Testing For A Unit Root In An Ar(1) Time Series Using Irregularly Observed Data

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  • Dong Wan Shin
  • Sahadeb Sarkar

Abstract

. For an AR(1) model having a unit root with nonconsecutively observed or missing data we consider the ordinary least squares estimator, the one‐step Newton‐Raphson estimator and an ordinary least squares type estimator which is a simple approximation of the Newton‐Raphson estimator. It is shown that the limiting distributions of these estimators of the unit root are the same as those of the regression estimators as tabulated by Dickey and Fuller (Distribution of the estimators for autoregressive time series with a unit root. J. Am. Statist. Assoc. 74 (1979), 427–31) for the complete data situation. Simulation results show that our proposed unit root tests perform very well for small samples.

Suggested Citation

  • Dong Wan Shin & Sahadeb Sarkar, 1996. "Testing For A Unit Root In An Ar(1) Time Series Using Irregularly Observed Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 309-321, May.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:3:p:309-321
    DOI: 10.1111/j.1467-9892.1996.tb00278.x
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    Cited by:

    1. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October.

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