Research Repository

Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data

Chambers, MJ (2015) 'Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data.' Journal of Time Series Analysis, 36 (5). 630 - 649. ISSN 0143-9782

[img]
Preview
Text
ctur(jn).pdf

Download (313kB) | Preview

Abstract

© 2015 Wiley Publishing Ltd. This article examines tests for a unit root in skip-sampled data. A generalization of the usual discrete time framework that allows for a continuous time detrending procedure prior to estimation of the resulting discrete time dynamic model that embodies exactly the restrictions imposed by the process of temporal aggregation is proposed. A simulation study reveals that taking these restrictions into account can yield improved size and power properties compared to a statistic based on a model that ignores the temporal aggregation, and an empirical illustration of the methods using monthly producer price data for the UK and the USA is provided. Further avenues for investigation in future work are also highlighted.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 08 Dec 2014 15:53
Last Modified: 05 Feb 2019 18:16
URI: http://repository.essex.ac.uk/id/eprint/12038

Actions (login required)

View Item View Item