Why Frequency Matters for Unit Root Testing in Financial Time Series
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
Reference29 articles.
1. Quantiles for t-statistics based on M-estimators of unit roots
2. Semi-nonparametric cointegration testing
3. Testing for unit roots with flow data and varying sampling frequency
4. Corrigendum to: “Testing for unit roots with flow data and varying sampling frequency” [J. Econom. 119 (1) (2004) 1–18]
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