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
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)
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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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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-318
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