TEMPORAL AGGREGATION AND THE POWER OF TESTS FOR A UNIT-ROOT

被引：73

作者：

PIERSE, RG ^{[1
]}

SNELL, AJ ^{[1
]}

机构：

[1] UNIV EDINBURGH,EDINBURGH EH8 9YL,MIDLOTHIAN,SCOTLAND

来源：

JOURNAL OF ECONOMETRICS | 1995年 / 65卷 / 02期

基金：

英国经济与社会研究理事会;

关键词：

UNIT ROOTS; POWER; SAMPLING; TEMPORAL AGGREGATION;

D O I：

10.1016/0304-4076(93)01589-E

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The asymptotic local power of unit root tests with the same data span is shown to be independent of sampling frequency. A measure of the power trade-off between sampling frequency and time span for distinct alternatives is derived using an approximate slopes approach. Only small span increases are generally required to maintain power when reducing sampling frequency. Monte Carlo results support the asymptotic analysis for finite samples. An application is made to a consumption function for the UK. Cointegration of consumption and wealth is rejected with quarterly data but convincingly accepted with a longer span of annual data.

引用

页码：333 / 345

页数：13

共 24 条

[1] EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE MODEL [J].