Multivariate cointegration and temporal aggregation: some further simulation results
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- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
References listed on IDEAS
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Cited by:
- Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
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More about this item
Keywords
Monte Carlo; Span; Power; Cointegration; Coffee prices.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-10-26 (Econometrics)
- NEP-ETS-2020-10-26 (Econometric Time Series)
- NEP-ORE-2020-10-26 (Operations Research)
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