Testing for unit roots in flow data sampled at different frequencies

DOI10.1016/0165-1765(94)00495-NMaRDI QIDQ1352140zbMATH OpenOpenAlexFDO

Authors Serena Ng

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(94)00495-n

zbMATH Keywords

C12moving average error structurefive unit root testsflow datapoint sampled data

Mathematics Subject Classification ID

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

Recommendations

• Testing for unit roots with flow data and varying sampling frequency
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• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Effects of data aggregation on the power of tests for a unit root. A simulation study
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Note on the Correlation of First Differences of Averages in a Random Chain
• Testing for a unit root in the presence of moving average errors
• 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 Estimation of Some Continuous Time Models

Cited in

(6)

• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Testing for unit roots with flow data and varying sampling frequency
• Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
• Testing for exuberance in house prices using data sampled at different frequencies
• Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
• Testing for a unit root in a near-integrated model with skip-sampled data

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