Sampling at different frequencies, and the power of panel unit root tests

DOI10.1016/J.ECONLET.2008.11.012zbMATH Open1175.62092OpenAlexW1975133205MaRDI QIDQ1038092FDOQ1038092

Authors: Luciano Gutierrez 

Publication date: 17 November 2009

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.11.012

zbMATH Keywords

sampling frequencyempirical powerpanel unit root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Determining the Number of Factors in Approximate Factor Models
• Testing for unit roots in heterogeneous panels.
• Testing for a unit root in panels with dynamic factors
• Incidental trends and the power of panel unit root tests
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Efficient Tests for an Autoregressive Unit Root
• Testing the random walk hypothesis: power versus frequency of observation

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