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

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

51 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	5-9
Número de páginas	5
Publicación	Economics Letters
Volumen	67
N.º	1
DOI	https://doi.org/10.1016/s0165-1765(99)00245-1
Estado	Publicada - abr. 2000
Publicado de forma externa	Sí

Áreas temáticas de ASJC Scopus

Finanzas
Economía y econometría

Acceder al documento

10.1016/s0165-1765(99)00245-1

Otros archivos y enlaces

Citar esto

@article{c7dc68cd265c4260bdb15044cf074e71,

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",

year = "2000",

month = apr,

doi = "10.1016/s0165-1765(99)00245-1",

language = "English (US)",

volume = "67",

pages = "5--9",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Testing for cointegration

T2 - Power versus frequency of observation - Further Monte Carlo results

AU - Otero, Jesus

AU - Smith, Jeremy

PY - 2000/4

Y1 - 2000/4

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0034380840&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0034380840&partnerID=8YFLogxK

U2 - 10.1016/s0165-1765(99)00245-1

DO - 10.1016/s0165-1765(99)00245-1

M3 - Article

AN - SCOPUS:0034380840

SN - 0165-1765

VL - 67

SP - 5

EP - 9

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Resumen

Áreas temáticas de ASJC Scopus

Acceder al documento

Otros archivos y enlaces

Huella

Citar esto