Tserkezos, Dikaios E. - In: Money, trade and finance : recent trends and …, (pp. 223-233). 2021
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...