Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
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- Busetti, Fabio & Taylor, A.M. Robert, 2005. "Stationarity Tests For Irregularly Spaced Observations And The Effects Of Sampling Frequency On Power," Econometric Theory, Cambridge University Press, vol. 21(04), pages 757-794, August.
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- J. Isaac Miller & Xi Wang, 2016. "Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 810-824, November.
- J. Isaac Miller, 2018. "Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data," Working Papers 1809, Department of Economics, University of Missouri.
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KeywordsStock and flow variables; local level model; unit root; LBI test; temporal aggregation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-ECM-2004-10-30 (Econometrics)
- NEP-ETS-2004-10-30 (Econometric Time Series)
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