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

DOI10.1016/0165-1765(92)90133-JzbMATH Open0775.62324OpenAlexW1550869236MaRDI QIDQ1802083FDOQ1802083

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

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Title not available (Why is that?)
• Towards a unified asymptotic theory for autoregression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the random walk hypothesis: power versus frequency of observation

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)