Abstract
We examine the change of power of Johansen's VAR MLE cointegration test when samples are aggregated or skipped. We show by Monte Carlo simulation that although there are power gains when switching to high frequency data to gain more observations for a fixed time span, the power gains are much more significant when data with longer time span are used.
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I thank G. S. Maddala and an anonymous referee for useful comments. The remaining errors are mine.
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Hu, W. Time aggregation and skip sampling in cointegration tests. Statistical Papers 37, 225–234 (1996). https://doi.org/10.1007/BF02926585
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DOI: https://doi.org/10.1007/BF02926585