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

DOI10.1016/S0165-1765(99)00245-1MaRDI QIDQ1978317zbMATH OpenFDO

Authors Jesus Otero, Jeremy Smith

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Monte Carlopowercointegrationspan

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Testing for cointegration: Power versus frequency of observation--another view
• Testing for cointegration at any frequency using spectral methods
• Cointegration and sampling frequency
• Testing for cointegration with temporally aggregated and mixed-frequency time series

Cites work

• Statistical analysis of cointegration vectors
• Temporal aggregation and the power of tests for a unit root
• Testing for Common Trends
• Testing for cointegration: Power versus frequency of observation--another view
• Testing for unit roots in flow data sampled at different frequencies
• Testing the random walk hypothesis: power versus frequency of observation

Cited in

(6)

• The Fisher effect in the presence of time-varying coefficients
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Cointegration and sampling frequency
• A weighted symmetric cointegration test
• Testing for cointegration with temporally aggregated and mixed-frequency time series

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