Testing for cointegration: Power versus frequency of observation - Further Monte Carlo results

Jesus Otero; Jeremy Smith

doi:10.1016/s0165-1765(99)00245-1

Testing for cointegration: Power versus frequency of observation - Further Monte Carlo results

Jesus Otero, Jeremy Smith

Research output: Contribution to journal › Article › peer-review

51 Scopus citations

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)
Pages (from-to)	5-9
Number of pages	5
Journal	Economics Letters
Volume	67
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(99)00245-1
State	Published - Apr 2000
Externally published	Yes

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/s0165-1765(99)00245-1

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title = "Testing for cointegration: Power versus frequency of observation - Further Monte Carlo results",

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.",

author = "Jesus Otero and Jeremy Smith",

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Testing for cointegration: Power versus frequency of observation - Further Monte Carlo results

Abstract

All Science Journal Classification (ASJC) codes

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