Asymptotic F test in regressions with observations collected at high frequency over long span

This paper proposes tests of linear hypotheses when the variables may be continuoustime 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 semimartingales. Endogenous regressors are allowed in a nonstationary environment similar to cointegration models in the usual discrete-time setting. The F tests can be implemented in exactly the same way as in the discrete-time setting. The F tests are, therefore, robust to the continuoustime or discrete-time nature of the data. Simulations demonstrate the improved size accuracy and competitive power of the F tests relative to existing continuous-time testing procedures and their improved versions. The F tests are of practical interest as recent work by Chang et al. (2021) demonstrates that traditional inference methods can become invalid and produce spurious results when continuous-time processes are observed on finer grids over a long span. & COPY; 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC