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Testing for cointegration: power versus frequency of observation - further Monte Carlo results
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UNSPECIFIED (2000) Testing for cointegration: power versus frequency of observation - further Monte Carlo results. ECONOMICS LETTERS, 67 (1). pp. 5-9. ISSN 0165-1765
Full text not available from this repository.Abstract
This paper studies the effects of increasing the frequency of observation and the data span on the Johansen cointegration tests. The ability of the tests to detect cointegration depends more on the total sample length than the number of observations. (C) 2000 Elsevier Science S.A. All rights reserved.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions |
| Journal or Publication Title: | ECONOMICS LETTERS |
| Publisher: | ELSEVIER SCIENCE SA |
| ISSN: | 0165-1765 |
| Date: | April 2000 |
| Volume: | 67 |
| Number: | 1 |
| Number of Pages: | 5 |
| Page Range: | pp. 5-9 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/13553 |
Data sourced from Thomson Reuters' Web of Knowledge
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