The Effects of Temporal Aggregation and Random Sampling on the Power of the Augmented Dickey Fuller Stationarity Test: A Monte Carlo Study

Dikaios Tserkezos ()
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Dikaios Tserkezos: Neapolis University Paphos

Chapter Chapter 11 in Money, Trade and Finance, 2021, pp 223-233 from Springer

Abstract: Abstract A crucial aspect of empirical research is the stationarity properties of a time series. In this short chapter, we examine the effects of temporal aggregation on the power properties of the Augmented Dickey Fuller (ADF) stationarity test developed by Dickey, D.A. and W.A. Fuller, Journal of the American Statistical Association 74, 427–431, 1979. The conducted Monte Carlo simulation experiments show that the use of temporally aggregated data affects seriously the power of the ADF t-test to detect stationarity.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-73219-6_11

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DOI: 10.1007/978-3-030-73219-6_11

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