Testing for cointegration: power versus frequency of observation - furtherMonte Carlo results

Authors
Otero, J Smith, J
Citation
J. Otero et J. Smith, Testing for cointegration: power versus frequency of observation - furtherMonte Carlo results, ECON LETT, 67(1), 2000, pp. 5-9
Citations number
10
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
67
Issue
1
Year of publication
2000
Pages
5 - 9
Database
ISI
SICI code
0165-1765(200004)67:1<5:TFCPVF>2.0.ZU;2-M
Abstract
This paper studies the effects of increasing the frequency of observation a nd the data span on the Johansen cointegration tests. The ability of the te sts to detect cointegration depends more on the total sample length than th e number of observations. (C) 2000 Elsevier Science S.A. All rights reserve d.