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Testing for unit roots with flow data and varying sampling frequency

  • Chambers, Marcus J.

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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File URL: http://www.sciencedirect.com/science/article/B6VC0-4BRSK8B-1/2/8a33e3984cf1eba569e9850553073d58
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
  2. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  3. 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.
  4. 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.
  5. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  6. 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.
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