This paper analyzes the effect of changing sampling frequencies on the empirical power of “first generation” as well as “second generation” panel unit root tests.
Sampling at different frequencies and the power of panel unit root tests / GUTIERREZ, Luciano. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 102:1(2009), pp. 59-61. [10.1016/j.econlet.2008.11.012]