Economics at your fingertips  

The Effect of Linear Time Trends on the KPSS Test for Cointegration

Uwe Hassler

Journal of Time Series Analysis, 2001, vol. 22, issue 3, 283-292

Abstract: The so‐called KPSS test for the null hypothesis of cointegration builds on residuals from single equation regressions. Critical values have been provided for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear trends, although this does not mean that detrending is required. In this paper adequate percentiles are suggested for series that follow linear time trends, and tests are based on regressions without detrending. These percentiles are readily available from the literature.

Date: 2001
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-03-29
Handle: RePEc:bla:jtsera:v:22:y:2001:i:3:p:283-292