Advanced Search
MyIDEAS: Login

Test Consistency with Varying Sampling Frequency


Author Info

  • Perron, Pierre


This Paper Considers the Consistency Property of Some Test Statistics Based on a Time Series of Data. While Th Eusual Consistency Criterion Is Based on Keeping the Sampling Interval Fixed, We Let the Sampling Interval Take Any Path As the Sample Size Increases to Infinity. We Consider Tests of the Null Hypotheses of the Random Walk and Randomness Against Positive Autocorrelation 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 Using the First-Differenced Data Are Consistent Only If the Span Is Increasing At a Rate Greater Than Square Root of 'T'. on the Other Hand Tests of the Randomness Hypotheses 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 O Observations While Tests of Randomness Are More Powerfull When a Small Sampling Frequency Is Available.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. 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.
File URL:
File Function: link to article abstract page
Download Restriction: no

Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 7 (1991)
Issue (Month): 03 (September)
Pages: 341-368

as in new window
Handle: RePEc:cup:etheor:v:7:y:1991:i:03:p:341-368_00

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page:

Related research


Other versions of this item:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:7:y:1991:i:03:p:341-368_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.