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 |
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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 journal › Article
}
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
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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 -