Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22430 
Year of Publication: 
2005
Series/Report no.: 
Diskussionsbeitrag No. 318
Publisher: 
Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
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

Files in This Item:
File
Size
101.49 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.