Testing for unit roots with flow data and varying sampling frequency
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Publication:269226
DOI10.1016/S0304-4076(03)00152-0zbMath1337.62211OpenAlexW2027011378MaRDI QIDQ269226
Publication date: 18 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00152-0
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (8)
Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ Cointegration and sampling frequency ⋮ Estimation of fractional integration under temporal aggregation ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
Cites Work
- Testing for unit roots in flow data sampled at different frequencies
- Effects of data aggregation on the power of tests for a unit root. A simulation study
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Towards a unified asymptotic theory for autoregression
- Time Series Regression with a Unit Root
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