Testing for cointegration: Power versus frequency of observation--another view

DOI10.1016/0165-1765(95)00668-6zbMath0875.90207OpenAlexW2094682296MaRDI QIDQ672559

Nlandu Mamingi, Kajal Lahiri

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00668-6

zbMATH Keywords

Monte CarloCointegrationPowerData span

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (7)

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Testing for exuberance in house prices using data sampled at different frequencies ⋮ A weighted symmetric cointegration test ⋮ Testing for cointegration: power versus frequency of observation -- further Monte Carlo results ⋮ Cointegration and sampling frequency ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies

Cites Work

• Testing the random walk hypothesis: power versus frequency of observation
• Co-Integration and Error Correction: Representation, Estimation, and Testing

This page was built for publication: Testing for cointegration: Power versus frequency of observation--another view