Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are robust to this problem, and Monte Carlo evidence suggests they provide reliable estimates of the true impulse responses. We use local...

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...