EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-ecm
Date: 2005-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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) Downloads
Working Paper: The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated (2004) Downloads
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: https://EconPapers.repec.org/RePEc:han:dpaper:dp-318

Access Statistics for this paper

More papers in Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Contact information at EDIRC.
Bibliographic data for series maintained by Heidrich, Christian ().

 
Page updated 2019-08-10
Handle: RePEc:han:dpaper:dp-318