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Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data

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  • Neil Kellard
  • Denise Osborn
  • Jerry Coakley
  • Marcus J. Chambers

Abstract

type="main" xml:id="jtsa12097-abs-0001"> This article examines tests for a unit root in skip-sampled data. A generalization of the usual discrete time framework that allows for a continuous time detrending procedure prior to estimation of the resulting discrete time dynamic model that embodies exactly the restrictions imposed by the process of temporal aggregation is proposed. A simulation study reveals that taking these restrictions into account can yield improved size and power properties compared to a statistic based on a model that ignores the temporal aggregation, and an empirical illustration of the methods using monthly producer price data for the UK and the USA is provided. Further avenues for investigation in future work are also highlighted.

Suggested Citation

  • Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers, 2015. "Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 630-649, September.
    • Handle: RePEc:bla:jtsera:v:36:y:2015:i:5:p:630-649
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    File URL: http://hdl.handle.net/10.1111/jtsa.12097
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    References listed on IDEAS

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    1. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
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    3. Marcus J. Chambers, 2015. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 562-586, July.
    4. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
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    6. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
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    8. Perron, Pierre, 1989. "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model," Econometric Theory, Cambridge University Press, vol. 5(2), pages 241-255, August.
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    10. Chambers, Marcus J. & Thornton, Michael A., 2012. "Discrete Time Representation Of Continuous Time Arma Processes," Econometric Theory, Cambridge University Press, vol. 28(1), pages 219-238, February.
    11. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    12. McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(6), pages 998-1015, December.
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    Cited by:

    1. Miller, J. Isaac, 2018. "Simple robust tests for the specification of high-frequency predictors of a low-frequency series," Econometrics and Statistics, Elsevier, vol. 5(C), pages 45-66.
    2. Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.

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