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.
Original language | English (US) |
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Pages (from-to) | 5-9 |
Number of pages | 5 |
Journal | Economics Letters |
Volume | 67 |
Issue number | 1 |
DOIs | |
State | Published - Apr 2000 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics