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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:2004
Series/Report no.:Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,31
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. 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.
Subjects:cointegration
power
long memory
KPSS-Test
JEL:C12
C32
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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