TESTING FOR UNIT ROOTS WITH VERY HIGH-FREQUENCY SPOT EXCHANGE-RATE DATA

This paper tests for unit roots in very high frequency spot exchange rate series, which have recently become available. The results suggest that the daily and hourly exchange rate series have a unit root, and most minute-by-minute series have a unit root without trend. In contrast, the continuous time exchange rate series have a unit root with trend, except the Tuesday series, which is trend stationary. However, after temporally aggregating the continuous time series into thirty-second, one-minute, five-minute, ten-minute, fifteen-minute, twenty-minute, thirty-minute and hourly series, we find a unit root in all the series. The results are consistent with the notion that temporal aggregation preserves the unit root property in time series.