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.HYLQ) 5/DQ DQG 'Dylg ($ Lohv

LQ SUDFWLFH 7KLV SDSHU FRQVLGHUV XQLW URRW WHVWLQJ ZLWK PLVVLQJ REVHUYDWLRQV. The paper examines unit root testing for time-series data with missing observations. It discusses three procedures for dealing with gaps in the data: ignoring the gaps, replacing gaps with the last available observation, and filling gaps with linear interpolation. Simulation results show that ignoring gaps produces unit root tests that are more powerful than the other two approaches considered. The paper also considers augmented Dickey-Fuller tests and models with

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0% found this document useful (0 votes)
38 views40 pages

.HYLQ) 5/DQ DQG 'Dylg ($ Lohv

LQ SUDFWLFH 7KLV SDSHU FRQVLGHUV XQLW URRW WHVWLQJ ZLWK PLVVLQJ REVHUYDWLRQV. The paper examines unit root testing for time-series data with missing observations. It discusses three procedures for dealing with gaps in the data: ignoring the gaps, replacing gaps with the last available observation, and filling gaps with linear interpolation. Simulation results show that ignoring gaps produces unit root tests that are more powerful than the other two approaches considered. The paper also considers augmented Dickey-Fuller tests and models with

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