Temporal aggregation and the power of tests for a unit root
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Publication:1343374
DOI10.1016/0304-4076(93)01589-EzbMath0809.62102MaRDI QIDQ1343374
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
Monte Carlo resultsunit root teststemporal aggregationsampling frequencyasymptotic local powerconsumption functionapproximate slopes approach
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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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, Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
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