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
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
Journal title :
Economics Letters