Effects of data aggregation on the power of tests for a unit root. A simulation study

DOI10.1016/0165-1765(92)90133-JMaRDI QIDQ1802083zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 8 August 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90133-j

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the random walk hypothesis: power versus frequency of observation
• Towards a unified asymptotic theory for autoregression

Cited in

(2)

• Testing for unit roots with flow data and varying sampling frequency
• Testing for unit roots in flow data sampled at different frequencies

This page was built for publication: Effects of data aggregation on the power of tests for a unit root. A simulation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1802083)