Testing for cointegration: Power versus frequency of observation -- another view
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References listed on IDEAS
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- Craig S. Hakkio & Mark Rush, 1990.
"Cointegration: how short is the long run?,"
Research Working Paper
90-08, Federal Reserve Bank of Kansas City.
- Shiller, Robert J. & Perron, Pierre, 1985.
"Testing the random walk hypothesis : Power versus frequency of observation,"
Elsevier, vol. 18(4), pages 381-386.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
- Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
- Perron, P., 1987.
"Test Consistency with Varying Sampling Frequency,"
Cahiers de recherche
8752, Universite de Montreal, Departement de sciences economiques.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Hooker, Mark A., 1993. "Testing for cointegration : Power versus frequency of observation," Economics Letters, Elsevier, vol. 41(4), pages 359-362.
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