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Testing for cointegration : power versus frequency of observation - further Monte Carlo results
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Smith, Jeremy and Otero, J. (2000) Testing for cointegration : power versus frequency of observation - further Monte Carlo results. Economics Letters, Volume 67 (Number 1). pp. 5-9. doi:10.1016/S0165-1765(99)00245-1 ISSN 0165-1765.
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Official URL: http://dx.doi.org/10.1016/S0165-1765(99)00245-1
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 | ||||
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | Economics Letters | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0165-1765 | ||||
| Official Date: | 2000 | ||||
| Dates: |
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| Volume: | Volume 67 | ||||
| Number: | Number 1 | ||||
| Number of Pages: | 5 | ||||
| Page Range: | pp. 5-9 | ||||
| DOI: | 10.1016/S0165-1765(99)00245-1 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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