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. The divergence rate is independent of the order of integration of the cointegrating regressors which are allowed to be I(1 + dX) in our set up.

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Year of publication:	2005
Authors:	Sibbertsen, Philipp ; Krämer, Walter
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	cointegration \| power \| long memory \| KPSS-Test

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Series:	Diskussionsbeitrag ; 318
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	494462094 [GVK] hdl:10419/22430 [Handle] RePEc:han:dpaper:dp-318 [RePEc]
Classification:	C32 - Time-Series Models ; C12 - Hypothesis Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010262939