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| The Power of the KPSS–Test for Cointegration when Residuals are Fractionally Integrated |
| 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 out set up. |
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| Autor |
Prof. Dr. rer. pol. Walter Krämer
Philipp Sibbertsen |
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| Artikel | | Fachbereich | | Fachrichtung | | 2006 | | Statistik/Ökonometrie | | Statistik |
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| Schlagwörter |
| KPSS-Test, cointegration, long memory, power |
