Temporal Aggregation and the Power of Cointegration Tests: A Monte Carlo Study

By Alfred A. Haug. 2002

384 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bc8abfb53c54b9d2a8271f286958b1d2314ec025

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In Economics and Econometrics

Citations in the corpus

Cointegration Analysis with Mixed-Frequency Data (2007, background): “We also define ] , [ 2 1 ′ ′ ′ = t t H H H and ] , [ 2 2 1 ′ ′ ′ = × t n n t Q O Q , which will appear in equations (16) and (20) and in Appendix B.”
Is Energy Consumption Effective to Spur Economic Growth in Pakistan? New Evidence from Bounds Test to Level Relationships and Granger Causality Tests (2012, methodology): “The approach is more appropriate as compared to conventional cointegration techniques for small sample (Haug, 2002).”
Electricity consumption and economic growth empirical evidence from Pakistan (2011, result): “Haug (2002) has argued that ARDL approach to cointegration provides better results for small sample data set such as in our case as compared to traditional approaches to cointegration i.e. Engle and Granger (1987); Johansen and Juselius (1990) and Phillips and Hansen (1990).”
Energy conservation policies, growth and trade performance: Evidence of feedback hypothesis in Pakistan (2015, background): “The bounds testing approach also provides better estimates for small sample data (Haug, 2002).”
Empirical evidence on the resource curse hypothesis in oil abundant economy (2014, methodology): “For the empirical studies with fewer observations this econometric technique is more appropriate as compared to traditional cointegration techniques (Haug, 2002).”
Foreign Direct Investment, Trade Openness and Economic Growth in Ghana: An Empirical Investigation (2015, background): “unrestricted number of lags for both the dependent and independent variables (see Pesaran et al., 2001; Haug, 2002).”
Impact of tourism on CO2 emission: evidence from Pakistan (2017, methodology): “The ARDL approach has calculated enhanced small sample properties (Haug, 2002).”
Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach (2020, methodology): “Moreover, for a small dataset, it can be reliably applied to obtain consistent results (Haug 2002).”