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Testing for a Unit Root in Autoregressive Moving-average Models with Missing Data

โœ Scribed by Dong Wan Shin; Sahadeb Sarkar


Book ID
108549346
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
174 KB
Volume
19
Category
Article
ISSN
0143-9782

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โœ Zacharias Psaradakis ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 101 KB

This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests.