Temporal aggregation and the power of tests for a unit root

DOI10.1016/0304-4076(93)01589-EzbMath0809.62102OpenAlexW2084388628MaRDI QIDQ1343374

A. J. Snell, R. G. Pierse

Publication date: 26 March 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01589-e

zbMATH Keywords

Monte Carlo resultsunit root teststemporal aggregationsampling frequencyasymptotic local powerconsumption functionapproximate slopes approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Testing for cointegration: power versus frequency of observation -- further Monte Carlo results ⋮ PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS ⋮ Testing a Unit Root Based on Aggregate Time Series

Cites Work

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• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The Approximate Slopes of Econometric Tests
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Effect of Aggregation on Prediction in the Autoregressive Model

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