04-119/4 - Why Frequency Matters for Unit Root Testing

• Authors
  H. Peter Boswijk, Faculty of Economics and Econometrics, Universiteit van Amsterdam; Franc Klaassen, Faculty of Economics and Econometrics, Universiteit van Amsterdam
• Publication date
  November 5, 2005

• Keywords
  Fat tails; GARCH; mean reversion; observation frequency; purchasing-power parity; unit roots
• JEL
  C12; C22; F31