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Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study *
Author(s) -
Haug Alfred A.
Publication year - 2002
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.00025
Subject(s) - cointegration , monte carlo method , endogeneity , econometrics , economics , granger causality , statistic , value (mathematics) , mathematics , statistics