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 […]