Sampling frequency and the power of tests for a unit root: A simulation study

This paper studies the effects of sampling frequencies on the powers of the Phillips-Perron and augmented Dickey-Fuller tests for a unit root by simulation. It is shown that using the data with high sampling frequency can provide significant improvements in the finite sample powers of the augmented Dickey-Fuller tests. In addition, especially for data with low sampling frequency, the Phillips-Perron test appears to be more powerful than the augmented Dickey-Fuller test in finite samples, according to our experimental format.