It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

Asymptotic expansions are employed in a dynamic regression model with a unit root inorder to find approximations for the bias, the variance and for the mean squared error of theleast-squares estimator of all coefficients. It is found that in this particular context suchexpansions exist only when...