The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. This is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is drastically reduced when residuals are used.

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Year of publication:	2004
Authors:	Sibbertsen, Philipp ; Krämer, Walter
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	cointegration \| power \| long memory \| KPSS-Test

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2004,31
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216912