Testing for unit roots with flow data and varying sampling frequency
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Recommendations
- Testing for unit roots in flow data sampled at different frequencies
- Testing for a unit root by frequency domain regression
- STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
- Testing for a unit root in time series regression
- Temporal aggregation and the power of tests for a unit root
Cites work
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Effects of data aggregation on the power of tests for a unit root. A simulation study
- Testing for unit roots in flow data sampled at different frequencies
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
Cited in
(10)- STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Estimation of fractional integration under temporal aggregation
- Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Testing for unit roots in flow data sampled at different frequencies
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- Testing for a unit root in a near-integrated model with skip-sampled data
- REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
- Cointegration and sampling frequency
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