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

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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Year of publication:	1993
Authors:	Shin, Dongwan ; Pantula, Sastry G.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 18.1993, 3, p. 183-190
Publisher:	Elsevier
Keywords:	Dickey-Fuller tests ARMA processes systematic sampling

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319643