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Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results

Author

Listed:
  • Jesús Otero

    (Universidad del Rosario)

  • Theodore Panagiotidis

    (University of Macedonia)

  • Georgios Papapanagiotou

    (University of Macedonia)

Abstract

We perform Monte Carlo simulations to study the effect of increasing the frequency of observations and data span on the Johansen (J Econ Dyn Control 12(2–3):231–254, 1988; Likelihood-based inference in cointegrated vector autoregressive models, Oxford University Press, Oxford, 1995) maximum likelihood cointegration testing approach, as well as on the bootstrap and wild bootstrap implementations of the method developed by Cavaliere et al. (Econometrica 80(4):1721–1740, 2012; Econ Rev 33(5–6):606– 650, 2014). Considering systems with three and four variables, we find that when both the data span and the frequency vary, the power of the tests depend more on the sample length. We illustrate our findings by investigating th existence of long-run equilibrium relationships among four indicators prices of coffee.

Suggested Citation

  • 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.
    • Handle: RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10062-w
    DOI: 10.1007/s10614-020-10062-w
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    Cited by:

    1. 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

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