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A sequential approach to testing seasonal unit roots in high frequency data

Paulo Rodrigues () and Philip Hans Franses

No EI 2003-14, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the analysis of monthly data, and we find, upon analysing the aggregated quarterly data, that a smaller amount of test statistics can sometimes be considered. Monte Carlo simulation and empirical illustrations emphasize the practical relevance of our method.

Keywords: high frequency data; unit root testing (search for similar items in EconPapers)
Date: 2003-04-10
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https://repub.eur.nl/pub/1714/feweco20030410140109.pdf (application/pdf)

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Journal Article: A sequential approach to testing seasonal unit roots in high frequency data (2005) Downloads
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