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

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

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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
Uncontrolled Keywords: Unit root; skip sampling; GLS detrending; near-integrated model; ARMA model
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Economics, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 08 Dec 2014 15:53
Last Modified: 15 Jan 2022 00:22

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