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Testing for Unit Roots with Flow Data and Varying Sampling Frequency

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Marcus J. Chambers ()

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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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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 529.

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Date of creation: 2001
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Handle: RePEc:esx:essedp:529

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
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  2. repec:cup:etheor:v:7:y:1991:i:3:p:341-68 is not listed on IDEAS
  3. 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. [Downloadable!] (restricted)
  4. Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(03), pages 341-368, September. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  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). [Downloadable!]
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