Temporal aggregation and the power of tests for a unit root
type: Item
instance of: scholarly article
title: Temporal aggregation and the power of tests for a unit root
zbMATH Open document ID: 0809.62102
DOI: 10.1016/0304-4076(93)01589-E
author: R. G. Pierse
author: A. J. Snell
published in: Journal of Econometrics
publication date: 1995-03-26T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 718725
zbMATH Keywords: temporal aggregation
zbMATH Keywords: asymptotic local power
zbMATH Keywords: unit root tests
zbMATH Keywords: sampling frequency
zbMATH Keywords: approximate slopes approach
zbMATH Keywords: Monte Carlo results
zbMATH Keywords: consumption function
MaRDI profile type: Publication
cites work: The Effect of Aggregation on Prediction in the Autoregressive Model
cites work: Q3719692
cites work: Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Q4124141
cites work: The Approximate Slopes of Econometric Tests
cites work: Time Series Regression with a Unit Root
cites work: Towards a unified asymptotic theory for autoregression
cites work: Testing for a unit root in time series regression
cites work: Testing for unit roots in autoregressive-moving average models of unknown order
cites work: Testing the random walk hypothesis: power versus frequency of observation
full work available at URL: 0304-4076(93)01589-e
OpenAlex ID: W2084388628
Recommended article: Testing a Unit Root Based on Aggregate Time Series
Recommended article: Limiting power of unit-root tests in time-series regression
Recommended article: Power of a Unit-Root Test and the Initial Condition
Recommended article: Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
Recommended article: A note on the power of least squares tests for a unit root
description: scientific article; zbMATH DE number 718725