Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
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- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- 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.
- Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- In Choi & Bhum Suk Chung, 1995. "Sampling frequency and the power of tests for a unit root: A simulation study," Economics Letters, Elsevier, vol. 49(2), pages 131-136, August.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
- 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.
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