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

Philipp Sibbertsen and Walter Krämer

No 2004,31, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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. This is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is drastically reduced when residuals are used.

Keywords: cointegration; power; long memory; KPSS-Test (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2004
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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 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200431

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