The effects of temporal aggregation and random sampling on the power of the augmented Dickey Fuller stationarity test : a Monte Carlo study

Dikaios Tserkezos

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.

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Year of publication:	2021
Authors:	Tserkezos, Dikaios E.
Published in:	Money, trade and finance : recent trends and methodological issues. - Cham, Switzerland : Palgrave Macmillan, ISBN 978-3-030-73218-9. - 2021, p. 223-233
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Theorie \| Theory \| Aggregation \| Statistischer Test \| Statistical test \| Stichprobenerhebung \| Sampling

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Other identifiers:	10.1007/978-3-030-73219-6_11 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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