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http://hdl.handle.net/10419/22543
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| Title: | | The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated  |
| 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, TU Dortmund
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