Testing for cointegration: power versus frequency of observation -- further Monte Carlo results

DOI10.1016/S0165-1765(99)00245-1zbMath0945.91050MaRDI QIDQ1978317

Jeremy Smith, Jesus Otero

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Monte Carlopowercointegrationspan

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (5)

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ The Fisher effect in the presence of time-varying coefficients ⋮ A weighted symmetric cointegration test ⋮ Cointegration and sampling frequency ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies

Cites Work

• Testing the random walk hypothesis: power versus frequency of observation
• Testing for cointegration: Power versus frequency of observation--another view
• Statistical analysis of cointegration vectors
• Temporal aggregation and the power of tests for a unit root
• Testing for unit roots in flow data sampled at different frequencies
• Testing for Common Trends

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