The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated

Philipp Sibbertsen and Walter Krämer

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

Keywords: cointegration; power; long memory; KPSS-Test (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2005-06
New Economics Papers: this item is included in nep-ecm
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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-318.pdf (application/pdf)

Related works:
Journal Article: The power of the KPSS-test for cointegration when residuals are fractionally integrated (2006)
Working Paper: The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated (2004)
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