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

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  • Lahiri, Kajal
  • Mamingi, Nlandu

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  • Lahiri, Kajal & Mamingi, Nlandu, 1995. "Testing for cointegration: Power versus frequency of observation -- another view," Economics Letters, Elsevier, vol. 49(2), pages 121-124, August.
  • Handle: RePEc:eee:ecolet:v:49:y:1995:i:2:p:121-124
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    References listed on IDEAS

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    1. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 571-581, December.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.
    4. Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(03), pages 341-368, September.
    5. 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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    Cited by:

    1. Fedoseeva, Svetlana, 2013. "Do German exporters PTM? Searching for right answers in sugar confectionery exports," Discussion Papers 62, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    2. Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Temporal Aggregation, Causality Distortions, and a Sign Rule," Departmental Working Papers wp0406, National University of Singapore, Department of Economics.
    3. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
    4. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Does data frequency matter for the impact of forward premium on spot exchange rate?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 45-53.
    5. Eric Ghysels & J. Isaac Miller, 2015. "Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
    6. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
    7. James Payne, 2003. "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor & Francis Journals, vol. 35(16), pages 1723-1727.
    8. J. Isaac Miller & Xi Wang, 2016. "Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 810-824, November.
    9. Mallory Mindy & Lence Sergio H., 2012. "Testing for Cointegration in the Presence of Moving Average Errors," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-68, November.
    10. Baker, Mindy Lyn, 2009. "Three essays concerning agriculture and energy," ISU General Staff Papers 200901010800001849, Iowa State University, Department of Economics.
    11. Otero, Jesus & Smith, Jeremy, 2000. "Testing for cointegration: power versus frequency of observation -- further Monte Carlo results," Economics Letters, Elsevier, vol. 67(1), pages 5-9, April.
    12. repec:eco:journ1:2017-03-89 is not listed on IDEAS

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