The Power of Cointegration Tests Versus Data Frequency and Time Spans
AbstractUsing Monte Carlo methods, this study illustrates the potential benefits of using high frequency data series to conduct cointegration analysis. The study also provides an account of why the results are different from those reported by Hakkio and Rush (1991). The simulation results show that when the studies are restricted by relatively short time spans of 30 to 50 years, increasing data frequency may yield considerable power gain and less size distortion, especially when the cointegrating residual is not nearly nonstationary, and/or when the models with non-zero lag orders are required for testing cointegration. The study may help clarify some misconceptions and misinterpretations surrounding the role of data frequency and sample size in cointegration analysis.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Southern Economic Association in its journal Southern Economic Journal.
Volume (Year): 67 (2001)
Issue (Month): 4 (April)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tang, Chor Foon, 2008. "A re-examination of the relationship between electricity consumption and economic growth in Malaysia," Energy Policy, Elsevier, vol. 36(8), pages 3067-3075, August.
- Tang, Chor Foon, 2009. "Does causality technique matter to savings-growth nexus in Malaysia?," MPRA Paper 38535, University Library of Munich, Germany.
- Tang, Chor Foon, 2010. "A note on the nonlinear wages-productivity nexus for Malaysia," MPRA Paper 24355, University Library of Munich, Germany.
- Zhou, Su, 2003. "Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 571-590, August.
- Chor Foon Tang & Soo Y. Chua, 2012. "The savings-growth nexus for the Malaysian economy: a view through rolling sub-samples," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4173-4185, November.
- Ayla Oğuş Binatli & Niloufer Sohrabji, 2012.
"Intertemporal Solvency of Turkey’s Current Account,"
Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 89-104, March.
- Ayla Ogus & Niloufer Sohrabji, 2008. "Intertemporal solvency of Turkey’s current account," Working Papers 0805, Izmir University of Economics.
- Gregoriou, Andros & Kontonikas, Alexandros, 2010.
"The long-run relationship between stock prices and goods prices: New evidence from panel cointegration,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 20(2), pages 166-176, April.
- Gregoriou, Andros & Kontonikas, Alexandros, 2008. "The long run relationship between stock prices and goods prices: new evidence from panel cointegration," SIRE Discussion Papers 2008-32, Scottish Institute for Research in Economics (SIRE).
- Andros Gregoriou & Alexandros Kontonikas, . "The Long Run Relationship Between Stock Prices And Goods Prices: New Evidence From Panel Cointegration," Working Papers 2008_19, Business School - Economics, University of Glasgow.
- Tang, Chor Foon, 2010. "Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques," MPRA Paper 27299, University Library of Munich, Germany.
- Thomas M Fullerton Jr & Miwa Hattori & Cuauhtemoc Calderon, 2004. "Error Correction Exchange Rate Modeling Evidence for Mexico," International Finance 0406001, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Razzolini).
If references are entirely missing, you can add them using this form.