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

We show that the power of the KPSS-test against inte-gration, as measured by divergence rates of the test statistic underthe alternative, remains the same when residuals from an OLS-regression rather than true observations are used.[...]

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Year of publication:	2005-06-01
Authors:	Sibbertsen, Philipp ; Krämer, Walter
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Kointegration \| Long-memory-Prozess \| Macht \| Power

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Table of Contents
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1 Introduction and Summary
2 Power under the alternative
References

Persistent link: https://www.econbiz.de/10005867590