- Nonstationary Time Series and Missing Data
- Nonstationary Time Series and Missing Data
- ㆍ 저자명
- Shin. Dong-Wan,Lee. Oe-Sook
- ㆍ 간행물명
- 응용통계연구
- ㆍ 권/호정보
- 2010년|23권 1호|pp.73-79 (7 pages)
- ㆍ 발행정보
- 한국통계학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
Missing values for unit root processes are imputed by the most recent observations. Treating the imputed observations as if they are complete ones, semiparametric unit root tests are extended to missing value situations. Also, an invariance principle for the partial sum process of the imputed observations is established under some mild conditions, which shows that the extended tests have the same limiting null distributions as those based on complete observations. The proposed tests are illustrated by analyzing an unequally spaced real data set.