Effects of data aggregation on the power of tests for a unit root. A simulation study

DOI10.1016/0165-1765(92)90133-JzbMath0775.62324OpenAlexW1550869236MaRDI QIDQ1802083

Yanyan Li

Publication date: 8 August 1993

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90133-j

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Testing for unit roots with flow data and varying sampling frequency ⋮ Testing for unit roots in flow data sampled at different frequencies

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing the random walk hypothesis: power versus frequency of observation
• Testing for unit roots in autoregressive-moving average models of unknown order
• Towards a unified asymptotic theory for autoregression

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