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Testing for a Unit Root in a Near‐Integrated Model with Skip‐Sampled Data
Author(s) -
Chambers Marcus J.
Publication year - 2015
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12097
Subject(s) - unit root , statistic , mathematics , generalization , discrete time and continuous time , econometrics , process (computing) , statistics , power (physics) , computer science , mathematical analysis , operating system , physics , quantum mechanics
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.