응용통계연구 (The Korean Journal of Applied Statistics)

  • 제23권1호
  • /
  • Pages.73-79
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  • 2010
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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Nonstationary Time Series and Missing Data

  • Shin, Dong-Wan (Department of Statistics, Ewha Woman's University) ;
  • Lee, Oe-Sook (Department of Statistics, Ewha Woman's University)
  • 투고 : 20091200
  • 심사 : 20100100
  • 발행 : 2010.02.28
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초록

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.

키워드

참고문헌

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  5. Little, R. J. and Rubin, D. B. (2002). Statistical Analysis with Missing Data, John Wiley & Sons, Hoboken, New Jersey, USA.
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  8. Shin, D. W. (2008). Estimation of the long-run covariance matrix for unequally spaced nonstationary time series, Unpublished manuscript, Ewha University, Korea.
  9. Shin, D. W. and Sarkar, S. (1996). Testing for a unit root in an AR(1) time series using irregularly observed data, Journal of Time Series Analysis, 17, 309-321. https://doi.org/10.1111/j.1467-9892.1996.tb00278.x
  10. Shin, D. W. and Sarkar, S. (1998). Testing for a unit root in autoregressive moving-average models with missing Data, Journal of Time Series Analysis, 19, 601-608. https://doi.org/10.1111/1467-9892.00111
  11. Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models, Springer.
  12. Tsay, R. S. (2005). Analysis of Financial Time Series, 2nd ed., John Wiley & Sons, Hoboken, New Jersey.

피인용 문헌

  1. Market Microstructure Noise and Optimal Sampling Frequencies for the Realized Variances of Stock Prices of Four Leading Korean Companies vol.25, pp.1, 2012, https://doi.org/10.5351/KJAS.2012.25.1.015