Testing for unit roots in flow data sampled at different frequencies
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References listed on IDEAS
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- Schwert, G William, 1989.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 7(2), pages 147-159, April.
- Donald W.K. Andrews, 1988.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Cowles Foundation Discussion Papers
877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Shiller, Robert J. & Perron, Pierre, 1985.
"Testing the random walk hypothesis : Power versus frequency of observation,"
Elsevier, vol. 18(4), pages 381-386.
- Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
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