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Testing for unit roots with flow data and varying sampling frequency

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  • Chambers, Marcus J.

Abstract

This paper considers tests for a unit root in a flow variable when the span of data and/or the sampling frequency are allowed to vary. The limiting distributions of the statistics are obtained under both the null and alternative hypotheses, thereby enabling an analysis of the consistency properties of the tests to be conducted. Contrary to the situation with a stock variable, it is found that it is possible to consistently test for a unit root in a flow variable even when the span of the data is fixed, and, furthermore, that increasing the span of the data is not in itself sufficient for consistent testing. Some new simulation results are provided while the theoretical results obtained help to explain recent simulation findings by other authors involving unit root tests with flow variables.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 119 (2004)
Issue (Month): 1 (March)
Pages: 1-18

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Handle: RePEc:eee:econom:v:119:y:2004:i:1:p:1-18

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

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  1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  2. Marcus J. Chambers, 2001. "Testing for Unit Roots with Flow Data and Varying Sampling Frequency," Economics Discussion Papers 529, University of Essex, Department of Economics.
  3. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  4. Ng, Serena, 1995. "Testing for unit roots in flow data sampled at different frequencies," Economics Letters, Elsevier, vol. 47(3-4), pages 237-242, March.
  5. 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.
  6. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
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Cited by:
  1. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print peer-00815563, HAL.
  3. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
  4. Chambers, Marcus J., 2004. "Testing for unit roots with flow data and varying sampling frequency," Journal of Econometrics, Elsevier, vol. 119(1), pages 1-18, March.

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