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Sampling frequency and the power of tests for a unit root: A simulation study

Citations

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Cited by:

  1. Gutierrez, Luciano, 2009. "Sampling at different frequencies, and the power of panel unit root tests," Economics Letters, Elsevier, vol. 102(1), pages 59-61, January.
  2. Shuyang Chen, 2021. "The Urbanisation Impacts on the Policy Effects of the Carbon Tax in China," Sustainability, MDPI, vol. 13(12), pages 1-11, June.
  3. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Bank of Finland Research Discussion Papers 7/2012, Bank of Finland.
  4. Reinhard Neck & Friedrich Schneider, 2024. "The popularity function: a spurious regression? The case of Austria," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(1), pages 298-329, February.
  5. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  6. Voth, Hans-Joachim, 2003. "With a Bang, not a Whimper: Pricking Germany's “Stock Market Bubble” in 1927 and the Slide into Depression," The Journal of Economic History, Cambridge University Press, vol. 63(1), pages 65-99, March.
  7. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics.
  8. Magnus Gustavsson & Pär Österholm, 2007. "Does Unemployment Hysteresis Equal Employment Hysteresis?," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 159-173, June.
  9. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  10. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
  11. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
  12. Siregar, Reza & Rajaguru, Gulasekaran, 2005. "Sources of variations between the inflation rates of Korea, Thailand and Indonesia during the post-1997 crisis," Journal of Policy Modeling, Elsevier, vol. 27(7), pages 867-884, October.
  13. Hans-Joachim Voth & Dan H. Andersen, 1997. "Neutrality and Mediterranean Shipping Under Danish Flag, 1750-1807," Oxford Economic and Social History Working Papers _018, University of Oxford, Department of Economics.
  14. repec:zbw:bofism:2012_047 is not listed on IDEAS
  15. Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2011. "Financial deepening, trade openness and economic growth in Latin America and the Caribbean," Applied Economics, Taylor & Francis Journals, vol. 43(30), pages 4729-4739.
  16. Biru Paksha Paul, 2013. "Inflation--growth nexus: some bivariate EGARCH evidence for Bangladesh," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(1), pages 66-76, March.
  17. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Does data frequency matter for the impact of forward premium on spot exchange rate?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 45-53.
  18. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
  19. Fei, Rilong & Lin, Boqiang, 2017. "Estimates of energy demand and energy saving potential in China's agricultural sector," Energy, Elsevier, vol. 135(C), pages 865-875.
  20. Dan H. Andersen & Hans-Joachim Voth, 1997. "Neutrality and Mediterranean Shipping Under Danish Flag, 1750-1807," Oxford University Economic and Social History Series _018, Economics Group, Nuffield College, University of Oxford.
  21. Gries, Thomas & Kraft, Manfred & Meierrieks, Daniel, 2009. "Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa," World Development, Elsevier, vol. 37(12), pages 1849-1860, December.
  22. Ryan van Lamoen & Simona Mattheussens & Martijn Dröes, 2017. "Quantitative easing and exuberance in government bond markets: Evidence from the ECB's expanded asset purchase program," DNB Working Papers 548, Netherlands Central Bank, Research Department.
  23. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
  24. Jiranyakul, Komain, 2014. "Temporal causal relationship between stock market capitalization, trade openness and real GDP: evidence from Thailand," MPRA Paper 59652, University Library of Munich, Germany.
  25. Yin, Tong & De Propris, Lisa & Jabbour, Liza, 2021. "Assessing the effects of policies on China’s outward foreign direct investment," International Business Review, Elsevier, vol. 30(5).
  26. Ihle, Rico & Amikuzuno, Joseph, 2009. "The Integration of Tomato Markets in Ghana with and without Direct Trade Flows," 2009 Conference, August 16-22, 2009, Beijing, China 51402, International Association of Agricultural Economists.
  27. Gustavsson, Magnus & Osterholm, Par, 2006. "The informational value of unemployment statistics: A note on the time series properties of participation rates," Economics Letters, Elsevier, vol. 92(3), pages 428-433, September.
  28. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, University Library of Munich, Germany.
  29. Asongu Simplice, 2012. "Linkages between Investment Flows and Financial Development: Causality Evidence from Selected African Countries," Working Papers of the African Governance and Development Institute. 12/029, African Governance and Development Institute..
  30. Otero, Jesus & Smith, Jeremy, 2000. "Testing for cointegration: power versus frequency of observation -- further Monte Carlo results," Economics Letters, Elsevier, vol. 67(1), pages 5-9, April.
  31. Amikuzuno, Joseph, 2010. "Spatial Price Transmission Analysis in Agricultural Markets: Does the Data Frequency Improve our Estimation?," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96167, African Association of Agricultural Economists (AAAE).
  32. Lin, Boqiang & Ouyang, Xiaoling, 2014. "Electricity demand and conservation potential in the Chinese nonmetallic mineral products industry," Energy Policy, Elsevier, vol. 68(C), pages 243-253.
  33. Biru Paksha Paul & Hassan Zaman, 2013. "When and Why does Bangladesh’s Inflation Differ from India’s?," Working Papers id:5599, eSocialSciences.
  34. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  35. Biru Paksha Paul & Anupam Das, 2012. "Export-led Growth in India and the Role of Liberalisation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 6(1), pages 1-26, February.
  36. Xuedong Wu & Jeffrey H. Dorfman & Berna Karali, 2018. "The impact of data frequency on market efficiency tests of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 696-714, June.
  37. repec:zbw:bofrdp:2012_007 is not listed on IDEAS
  38. Magnus Gustavsson & Par Osterholm, 2006. "Hysteresis and non-linearities in unemployment rates," Applied Economics Letters, Taylor & Francis Journals, vol. 13(9), pages 545-548.
  39. Biru Paksha Paul, 2013. "Output Relationships in South Asia: Are Bangladesh and India Different from Neighbours?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 14(1), pages 35-57, March.
  40. Jiranyakul, Komain, 2014. "Capital Formation in Thailand: Its Importance and Determinants," MPRA Paper 58442, University Library of Munich, Germany.
  41. Jiranyakul, Komain, 2014. "Temporal causal relationship between stock market capitalization, trade openness and real GDP: evidence from Thailand," MPRA Paper 60623, University Library of Munich, Germany.
  42. Paul, Biru Paksha & Uddin, Gazi Salah, 2011. "Energy and output dynamics in Bangladesh," Energy Economics, Elsevier, vol. 33(3), pages 480-487, May.
  43. Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017. "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers 17-080/IV, Tinbergen Institute.
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