Fachbereich: Statistik/Ökonometrie
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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.
Prof. Dr. rer. pol. Walter Krämer
Philipp Sibbertsen
KPSS-Test, cointegration, long memory, power