Time aggregation and skip sampling in cointegration tests

Statistical Papers

Volumn 37, Issue , 1996, Pages 225-234

  Hu, Wanhong ^a  

^a 410 Arps Hall ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040380404     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02926585     Document Type: Article

References (6)

1. Hakkio C. and M. Rush (1991) Cointegration: how short is the long run? Journal of International Money and Finance 10: 571-581
2. Hooker M. (1993) Testing for cointegration. Economics Letters 41: 359-362
3. Perron P. (1991) Testing for a random walk: a simulation experiment of power when the sampling interval is varied, in B. Raj (ed.), Advances in Econometrics and Modeling, Kluwer Academic Publishers, Dordrecht
4. Shiller R. and P. Perron (1985) Testing the random walk hypotheses: power versus frequency of observation. Economics Letters 18: 381-386
5. Johansen S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12: 231-254
6. Johansen S. and K. Juselius (1990) Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics 52: 169-211