On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives

Jen-Je Su

Applied Economics Letters, 2003, vol. 10, issue 10, 637-641

Abstract: It shown that the multivariate version of KPSS test of Nyblom and Harvey (Econometric Theory, 16, 176-199, 2000) is consistent for the null of I(0) against the I(d) alternative. Simulation evidence is given to show the gain in power that is obtained from the multivariate approach.

Date: 2003
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DOI: 10.1080/1350485032000133336

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