Author/Authors :
Lahiri، نويسنده , , Kajal; Mamingi، نويسنده , , Nlandu Mamingi، نويسنده ,
Abstract :
Contrary to Hookerʹs finding (Economics Letters, 1993, 41, 359–362), Monte Carlo experiments reveal that Shiller and Perronʹs fundamental result (Economics Letters, 1985, 18, 381–386), according to which data span is more important than the number of observations in terms of the power of tests, carries over to the cointegration setting with the ADF test.
