EFFECT OF TEMPORAL AGGREGATION ON UNIT ROOT TESTS

The low-frequency series obtained from high-frequency series is called temporal aggregation. The aim of this study is to investigate the effect of aggregation on standard unit root tests using systematic sampling and average sampling aggregations, which are two different approaches of temporal aggregation. In this study, M1, price, reserve and exchange rate series are used for the period 1990 to 2015. Both quarterly and yearly frequencies are obtained by using both types of aggregations with logarithmic and non-logarithmic monthly frequency series. According to the results, logarithmic transform does not cause a significant difference in terms of unit root tests at the levels of the series, it led some different findings in the first differences of the series. Additionally, the results of the unit root test are affected by the aggregation forms