Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results

Jesus Otero, Theodore Panagiotidis and Georgios Papapanagiotou

Computational Economics, 2022, vol. 59, issue 1, No 4, 59-70

Abstract: 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.

Keywords: Monte Carlo; Span; Power; Cointegration; Coffee prices (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s10614-020-10062-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Multivariate cointegration and temporal aggregation: some further simulation results (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10062-w

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-020-10062-w

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().