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Temporal Aggregation and the Power of Cointegration Tests: A Monte Carlo Study.
Haug, Alfred A - In: Oxford Bulletin of Economics and Statistics 64 (2002) 4, pp. 399-412
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...
Persistent link: https://www.econbiz.de/10005682211
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Critical Values for the Z (circumflex) (subscript alpha)-Phillips-Ouliaris Test for Cointegration.
Haug, Alfred A - In: Oxford Bulletin of Economics and Statistics 54 (1992) 3, pp. 473-80
Persistent link: https://www.econbiz.de/10005276753
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Does Forecast Combination Improve Norges Bank Inflation Forecasts?
Bjørnland, Hilde C.; Gerdrup, Karsten; Jore, Anne Sofie; … - In: Oxford Bulletin of Economics and Statistics 74 (2012) 2, pp. 163-179
Persistent link: https://www.econbiz.de/10011031956
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Local Linear Impulse Responses for a Small Open Economy
Haug, Alfred A.; Smith, Christie - In: Oxford Bulletin of Economics and Statistics 74 (2012) 3, pp. 470-492
Persistent link: https://www.econbiz.de/10010564259