TESTING FOR COINTEGRATION - POWER VERSUS FREQUENCY OF OBSERVATION

Authors
HOOKER MA
Citation
Ma. Hooker, TESTING FOR COINTEGRATION - POWER VERSUS FREQUENCY OF OBSERVATION, Economics letters, 41(4), 1993, pp. 359-362
Citations number
7
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
41
Issue
4
Year of publication
1993
Pages
359 - 362
Database
ISI
SICI code
0165-1765(1993)41:4<359:TFC-PV>2.0.ZU;2-D
Abstract
Monte Carlo experiments indicate that temporal disaggregation often yi elds significant power increases in augmented Dickey-Fuller cointegrat ion tests. This result is contrary to the properties of ADF unit root tests and is robust to several lag specifications and test misspecific ations.