Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22543
Authors: 
Sibbertsen, Philipp
Krämer, Walter
Year of Publication: 
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

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