TESTING FOR A UNIT-ROOT IN AUTOREGRESSIVE PROCESSES WITH SYSTEMATIC BUT INCOMPLETE SAMPLING

被引：2
|
作者：
SHIN, DW
PANTULA, SG
机构：
[1] UNIV SUWON,SUWON,SOUTH KOREA
[2] N CAROLINA STATE UNIV,DEPT STAT,RALEIGH,NC 27695
来源：
STATISTICS & PROBABILITY LETTERS | 1993年 / 18卷 / 03期
关键词：
DICKEY-FULLER TESTS; ARMA PROCESSES; SYSTEMATIC SAMPLING;
D O I：
10.1016/0167-7152(93)90214-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We discuss the problem of testing for a unit root in an autoregressive model where the data are available only from every mth period, where m is some positive integer. We show that the data from systematic sampling follow an autoregressive moving average model. We compare the performance of different unit root test criteria that are appropriate for this situation. A Monte Carlo study is used to compare the powers of different test criteria.
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页码：183 / 190
页数：8
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