The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests
Economics Discussion Papers from University of Essex, Department of Economics
This paper analyses the effects of sampling frequency on detrending methods based on an underlying continuous time representation of the process of interest. Such an approach has the advantage of allowing for the explicit - and different - treatment of the ways in which stock and flow variables are actually observed. Some general results are provided before the focus turns to three particular detrending methods that have found widespread use in the conduct of tests for a unit root, these being GLS detrending, OLS detrending, and first differencing, and which correspond to particular values of the generic detrending parameter. In addition, three different scenarios concerning sampling frequency and data span, in each of which the number of observations increases, are considered for each detrending method. The limit properties of the detrending coeffcient estimates, as well as an invariance principle for the detrended variable, are derived. An example of the application of the techniques to testing for a unit root, using GLS detrending on an intercept, is provided and the results of a simulation exercise to analyse the size and power properties of the test in the three different sampling scenarios are reported.
Keywords: Continuous time; detrending; sampling frequency (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://repository.essex.ac.uk/16062/ original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:esx:essedp:16062
Ordering information: This working paper can be ordered from
Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
http://www.essex.ac. ... /papers-request.aspx
Access Statistics for this paper
More papers in Economics Discussion Papers from University of Essex, Department of Economics Contact information at EDIRC.
Series data maintained by Essex Economics Web Manager ().