This paper considers the consistency property of some test statistics based on a time series of data. While the usual consistency criterion is based on keeping the sampling interval fixed, we let the sampling interval take any equispaced path as the sample size increases to infinity. We consider tests of the null hypotheses of the random walk and randomness against positive autocorrelation (stationary or explosive). We show that tests of the unit root hypothesis based on the first-order correlation coefficient of the original data are consistent as long as the span of the data is increasing. Tests of the same hypothesis based on the first-order correlation coefficient of the first-differenced data are consistent against stationary alternatives only if the span is increasing at a rate greater than T , where T is the sample size. On the other hand, tests of the randomness hypothesis based on the first-order correlation coefficient applied to the original data are consistent as long as the span is not increasing too fast. We provide Monte Carlo evidence on the power, in finite samples, of the tests Studied allowing various combinations of span and sampling frequencies. It is found that the consistency properties summarize well the behavior of the power in finite samples. The power of tests for a unit root is more influenced by the span than the number of observations while tests of randomness are more powerful when a small sampling frequency is available.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 7 (1991) Issue (Month): 03 (September) Pages: 341-368 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)