• Journal of the Korean Statistical Society
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• 제30권2호
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• pp.281-290
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• 2001

Symmetric estimation and recursive mean adjustment are considered to construct tests for the doble unit root hypothesis for both parametric and semiparametric time series models. It is shown that simultaneous application of symmetric estimation and recursive mean adjustment yields the most powerful test. Moreover, size property of the semiparametric test based on the simultaneous application is bet among all semiparametric tests.

• 응용통계연구
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• 제23권1호
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• pp.73-79
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• 2010

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.