Sibbertsen, Philipp; Krämer, Walter - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2005
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...