LM tests for unit roots in the presence of missing observations

Small sample evidence

Hiro Y. Toda, Colin R Mckenzie

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a first-order autoregressive process for two types of null and alternative hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power properties of the tests are investigated using a Monte Carlo simulation.

Original languageEnglish
Pages (from-to)457-468
Number of pages12
JournalMathematics and Computers in Simulation
Volume48
Issue number4-6
Publication statusPublished - 1999 Jun
Externally publishedYes

Fingerprint

Lagrange multiplier Test
Missing Observations
Lagrange multipliers
Unit Root
Small Sample
Stationarity
Time series
Correlated Errors
Autoregressive Process
Small Sample Size
Time Series Models
Asymptotic distribution
Null
Monte Carlo Simulation
First-order
Evidence
Small sample
Lagrange multiplier test
Unit root
Alternatives

Keywords

  • Lagrange Multiplier test
  • Missing observations
  • Monte Carlo simulation
  • Serial correlation
  • Stationarity
  • Unit roots

ASJC Scopus subject areas

  • Information Systems and Management
  • Control and Systems Engineering
  • Applied Mathematics
  • Computational Mathematics
  • Modelling and Simulation

Cite this

LM tests for unit roots in the presence of missing observations : Small sample evidence. / Toda, Hiro Y.; Mckenzie, Colin R.

In: Mathematics and Computers in Simulation, Vol. 48, No. 4-6, 06.1999, p. 457-468.

Research output: Contribution to journalArticle

@article{c26c32666ac24abe84cf35d68e8a560e,
title = "LM tests for unit roots in the presence of missing observations: Small sample evidence",
abstract = "The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a first-order autoregressive process for two types of null and alternative hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power properties of the tests are investigated using a Monte Carlo simulation.",
keywords = "Lagrange Multiplier test, Missing observations, Monte Carlo simulation, Serial correlation, Stationarity, Unit roots",
author = "Toda, {Hiro Y.} and Mckenzie, {Colin R}",
year = "1999",
month = "6",
language = "English",
volume = "48",
pages = "457--468",
journal = "Mathematics and Computers in Simulation",
issn = "0378-4754",
publisher = "Elsevier",
number = "4-6",

}

TY - JOUR

T1 - LM tests for unit roots in the presence of missing observations

T2 - Small sample evidence

AU - Toda, Hiro Y.

AU - Mckenzie, Colin R

PY - 1999/6

Y1 - 1999/6

N2 - The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a first-order autoregressive process for two types of null and alternative hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power properties of the tests are investigated using a Monte Carlo simulation.

AB - The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a first-order autoregressive process for two types of null and alternative hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power properties of the tests are investigated using a Monte Carlo simulation.

KW - Lagrange Multiplier test

KW - Missing observations

KW - Monte Carlo simulation

KW - Serial correlation

KW - Stationarity

KW - Unit roots

UR - http://www.scopus.com/inward/record.url?scp=0346398189&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0346398189&partnerID=8YFLogxK

M3 - Article

VL - 48

SP - 457

EP - 468

JO - Mathematics and Computers in Simulation

JF - Mathematics and Computers in Simulation

SN - 0378-4754

IS - 4-6

ER -