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Sampling frequency and the power of tests for a unit root: A simulation study

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  • In Choi
  • Bhum Suk Chung
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File URL: http://www.sciencedirect.com/science/article/B6V84-3YVCYT2-1F/2/493dc671a368e1e57434ae89823cb1bc
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 49 (1995)
Issue (Month): 2 (August)
Pages: 131-136

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Handle: RePEc:eee:ecolet:v:49:y:1995:i:2:p:131-136

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  1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  2. Choi, In, 1992. "Effects of data aggregation on the power of tests for a unit root : A simulation study," Economics Letters, Elsevier, vol. 40(4), pages 397-401, December.
  3. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  4. Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
  5. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
  6. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
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