TY - JOUR
T1 - Multivariate Cointegration and Temporal Aggregation
T2 - Some Further Simulation Results
AU - Otero, Jesús
AU - Panagiotidis, Theodore
AU - Papapanagiotou, Georgios
N1 - Publisher Copyright:
© 2020, Springer Science+Business Media, LLC, part of Springer Nature.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2020
Y1 - 2020
N2 - We perform Monte Carlo simulations to study the effect of increasing the frequency of observations and data span on the Johansen (J Econ Dyn Control 12(2–3):231–254, 1988; Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford, 1995) maximum likelihood cointegration testing approach, as well as on the bootstrap and wild bootstrap implementations of the method developed by Cavaliere et al. (Econometrica 80(4):1721–1740, 2012; Econ Rev 33(5–6):606– 650, 2014). Considering systems with three and four variables, we find that when both the data span and the frequency vary, the power of the tests depend more on the sample length. We illustrate our findings by investigating th existence of long-run equilibrium relationships among four indicators prices of coffee.
AB - We perform Monte Carlo simulations to study the effect of increasing the frequency of observations and data span on the Johansen (J Econ Dyn Control 12(2–3):231–254, 1988; Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford, 1995) maximum likelihood cointegration testing approach, as well as on the bootstrap and wild bootstrap implementations of the method developed by Cavaliere et al. (Econometrica 80(4):1721–1740, 2012; Econ Rev 33(5–6):606– 650, 2014). Considering systems with three and four variables, we find that when both the data span and the frequency vary, the power of the tests depend more on the sample length. We illustrate our findings by investigating th existence of long-run equilibrium relationships among four indicators prices of coffee.
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U2 - 10.1007/s10614-020-10062-w
DO - 10.1007/s10614-020-10062-w
M3 - Research Article
AN - SCOPUS:85094962138
SN - 0927-7099
JO - Computational Economics
JF - Computational Economics
ER -