### 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 language | English |
---|---|

Pages (from-to) | 457-468 |

Number of pages | 12 |

Journal | Mathematics and Computers in Simulation |

Volume | 48 |

Issue number | 4-6 |

Publication status | Published - 1999 Jun |

Externally published | Yes |

### Fingerprint

### 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

*Mathematics and Computers in Simulation*,

*48*(4-6), 457-468.

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

Research output: Contribution to journal › Article

*Mathematics and Computers in Simulation*, vol. 48, no. 4-6, pp. 457-468.

}

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 -