Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study*
用蒙特卡洛方法研究时间聚合对常用协整检验效力的影响，发现给定时间跨度下更高观测频率能显著提升检验效力，且Engle和Granger的ADF检验在典型有限样本中表现最稳定。
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 to the highest and most stable powers for typical finite sample sizes and likely data generating processes encountered by practitioners. Copyright 2002 by Blackwell Publishing Ltd