Temporal aggregation and the power of tests for a unit root

DOI10.1016/0304-4076(93)01589-EMaRDI QIDQ1343374zbMATH OpenOpenAlexFDO

Authors R. G. Pierse, A. J. Snell

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

sampling frequencytemporal aggregationunit root testsMonte Carlo resultsasymptotic local powerconsumption functionapproximate slopes approach

Mathematics Subject Classification ID

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

Recommendations

• Testing a Unit Root Based on Aggregate Time Series
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• A note on the power of least squares tests for a unit root

Cites work

• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the random walk hypothesis: power versus frequency of observation
• The Approximate Slopes of Econometric Tests
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(9)

• Testing for unit roots with flow data and varying sampling frequency
• Testing for unit roots in flow data sampled at different frequencies
• TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR
• Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
• Testing a Unit Root Based on Aggregate Time Series
• Testing for a unit root in a near-integrated model with skip-sampled data
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A generalization of the Burridge-Guerre nonparametric unit root test
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies

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