Stationary test for first order autoregressive model subject to sampling errors

Abstract

In 1979, Dickey and Fuller introduced a stationary test on the first order autoregressive model, AR(1), and limitting distribution of the estimator of autoregressive coefficient and the test statistics. The method has been applied to test the stationarity of the first order autoregressive time series model. However, the method has been applied regardless of sampling errors which usually occurs in data collection. autoregressive model subject to sampling errors.