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

Jesus Otero, Jeremy Smith

Research output: Contribution to journalArticlepeer-review

42 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 languageEnglish (US)
Pages (from-to)5-9
Number of pages5
JournalEconomics Letters
Volume67
Issue number1
DOIs
StatePublished - Apr 2000
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Testing for cointegration: Power versus frequency of observation - Further Monte Carlo results'. Together they form a unique fingerprint.

Cite this