Toda, Hiro Y.; McKenzie, C.R. - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 457-468
The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a...
