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Title:The Power of the KPSS{Test for Cointegration when Residuals are Fractionally Integrated PDF Logo
Authors:Sibbertsen, Philipp
Krämer, Walter
Issue Date:2005
Series/Report no.:Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 318
Abstract: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.
Subjects:cointegration
power
long memory
KPSS-Test
JEL:C32
C12
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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