Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results

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 […]

Convergence in retail gasoline prices: insights from Canadian cities

This paper investigates the extent of convergence club formation in retail gasoline prices. Our study provides new insights through the use of a large disaggregated panel database for Canada that comprises three types of gasoline grades, namely regular, medium and premium, for a sample of 44 cities over a period of almost two decades. The […]