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Title: Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results
Authors: Otero, Jesús
Panagiotidis, Theodore
Papapanagiotou, Georgios
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
FRASCATI::Social sciences::Economics and Business
Keywords: Monte Carlo
Coffee prices
Issue Date: 4-Nov-2022
Publisher: Springer
Source: Computational Economics
Volume: 59
Issue: 1
First Page: 59
Last Page: 70
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.
ISSN: 0927-7099
Other Identifiers: 10.1007/s10614-020-10062-w
Appears in Collections:Department of Economics

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