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

journal

  • Economics Letters

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.

publication date

  • 2000-4-1

edition

  • 67

keywords

  • Cointegration
  • Cointegration Test
  • Testing

International Standard Serial Number (ISSN)

  • 0165-1765

number of pages

  • 5

start page

  • 5

end page

  • 9