Test Consistency With Varying Sampling Frequency
This paper considers the consistency property of some test statistics based on a time series of data. While the usual consistency criterion is based on keeping the sampling interval fixed, we let the sampling interval take any equispaced path as the sample size increases to infinity. We consider tests of the null hypotheses of the random walk and randomness against positive autocorrelation (stationary or explosive). We show that tests of the unit root hypothesis based on the first-order correlation coefficient of the original data are consistent as long as the span of the data is increasing. Tests of the same hypothesis based on the first-order correlation coefficient of the first-differenced data are consistent against stationary alternatives only if the span is increasing at a rate greater than T ½ , where T is the sample size. On the other hand, tests of the randomness hypothesis based on the first-order correlation coefficient applied to the original data are consistent as long as the span is not increasing too fast. We provide Monte Carlo evidence on the power, in finite samples, of the tests Studied allowing various combinations of span and sampling frequencies. It is found that the consistency properties summarize well the behavior of the power in finite samples. The power of tests for a unit root is more influenced by the span than the number of observations while tests of randomness are more powerful when a small sampling frequency is available.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1989|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (609) 258-4000
Fax: (609) 258-6419
Web page: http://www.princeton.edu/~erp/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:prinem:345. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.