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Sampling at different frequencies, and the power of panel unit root tests

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  • Gutierrez, Luciano

Abstract

This paper analyzes the effect of changing sampling frequencies on the empirical power of "first generation" as well as "second generation" panel unit root tests.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4V16622-1/2/47135f8784fbd4124657aaeec0267856
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 102 (2009)
Issue (Month): 1 (January)
Pages: 59-61

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Handle: RePEc:eee:ecolet:v:102:y:2009:i:1:p:59-61

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Sampling frequency Empirical power Panel unit root tests;

References

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  1. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
  2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  3. In Choi & Bhum Suk Chung, 1995. "Sampling frequency and the power of tests for a unit root: A simulation study," Economics Letters, Elsevier, vol. 49(2), pages 131-136, August.
  4. Hyungsik Roger Moon & Benoit Perron, 2008. "Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 80-104, 03.
  5. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003. "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers 1435, Cowles Foundation for Research in Economics, Yale University.
  6. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  7. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  8. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques.
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