A sequential approach to testing seasonal unit roots in high frequency data
AbstractIn this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the analysis of monthly data, and we find, upon analysing the aggregated quarterly data, that a smaller amount of test statistics can sometimes be considered. Monte Carlo simulation and empirical illustrations emphasize the practical relevance of our method.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2003-14.
Date of creation: 10 Apr 2003
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high frequency data; unit root testing;
Other versions of this item:
- Paulo Rodrigues & Philip Hans Franses, 2005. "A sequential approach to testing seasonal unit roots in high frequency data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 32(6), pages 555-569.
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