Temporal Aggregation and the Power of Cointegration Tests PDF Download
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Author: Alfred A. Haug
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The effect of time-aggregation on the power of commonly used tests for cointegration is studied with the Monte Carlo method. The results suggest that, for a given span, a higher frequency of observation can add substantially to test power. Also, Engle and Granger's (1987) ADF test leads overall to the highest and most stable powers for typical finite sample sizes and likely data generating processes encountered by practitioners.
Author: Alfred A. Haug
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The effect of time-aggregation on the power of commonly used tests for cointegration is studied with the Monte Carlo method. The results suggest that, for a given span, a higher frequency of observation can add substantially to test power. Also, Engle and Granger's (1987) ADF test leads overall to the highest and most stable powers for typical finite sample sizes and likely data generating processes encountered by practitioners.
Author: J. Isaac Miller
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Massimiliano Marcellino
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 60
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Book Description
Author: Eric Ghysels
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 44
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Book Description
We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We find that the effects of aggregation on the size of the tests may be severe. Matching sampling schemes of all series generally reduces size, and the nominal size is obtained when all series are skip sampled in the same way. When matching all schemes is not feasible, but when some high-frequency data are available, we show how to use mixed-frequency models to improve the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration.
Author: Jeroen J. M. Kremers
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 44
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Book Description
Author: Thomas B. Fomby
Publisher: Emerald Group Publishing
ISBN: 1784411825
Category : Political Science
Languages : en
Pages : 772
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Book Description
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Author: Clive William John Granger
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Marcus J. Chambers
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 29
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Author: Massimiliano Giuseppe Marcellino
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We derive the generating mechanism of a temporally aggregated process when the original one belongs to the ARMA class. We then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration and common features. An empirical example illustrates the main issues.
Author: Paulo João Figueiredo Cabral Teles
Publisher:
ISBN:
Category : Time pressure
Languages : en
Pages : 568
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Book Description
