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Nonstationary Time Series and Missing Data
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 Title & Authors
Nonstationary Time Series and Missing Data
Shin, Dong-Wan; Lee, Oe-Sook;
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 Abstract
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.
 Keywords
High frequency data;invariance principle;missing value imputation;semiparametric unit root test;
 Language
English
 Cited by
1.
한국주요상장사 주가 실현변동성 추정시 시장미시구조 잡음과 최적 추출 빈도수,오로지;신동완;

응용통계연구, 2012. vol.25. 1, pp.15-27 crossref(new window)
1.
Market Microstructure Noise and Optimal Sampling Frequencies for the Realized Variances of Stock Prices of Four Leading Korean Companies, Korean Journal of Applied Statistics, 2012, 25, 1, 15  crossref(new windwow)
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