Asymptotic F test in regressions with observations collected at high frequency over long span
长期高频观测回归中的渐近 F 检验
This paper proposes tests of linear hypotheses when the variables may be continuous-time processes with observations collected at a high sampling frequency over a long span. Utilizing series long run variance (LRV) estimation in place of the traditional kernel LRV estimation, we develop easy-to-implement and more accurate F tests in both stationary and nonstationary environments. The nonstationary environment accommodates exogenous regressors that are general…