Title of article
Testing for cointegration: power versus frequency of observation — further Monte Carlo results
Author/Authors
Jesus Otero، نويسنده , , Jeremy Smith، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
5
From page
5
To page
9
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.
Keywords
Monte Carlo , Power , Span , cointegration
Journal title
Economics Letters
Serial Year
2000
Journal title
Economics Letters
Record number
434730
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