IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v22y2001i3p283-292.html
   My bibliography  Save this article

The Effect of Linear Time Trends on the KPSS Test for Cointegration

Author

Listed:
  • Uwe Hassler

Abstract

The so‐called KPSS test for the null hypothesis of cointegration builds on residuals from single equation regressions. Critical values have been provided for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear trends, although this does not mean that detrending is required. In this paper adequate percentiles are suggested for series that follow linear time trends, and tests are based on regressions without detrending. These percentiles are readily available from the literature.

Suggested Citation

  • Uwe Hassler, 2001. "The Effect of Linear Time Trends on the KPSS Test for Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(3), pages 283-292, May.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:3:p:283-292
    DOI: 10.1111/1467-9892.00224
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00224
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00224?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hassler, Uwe, 2002. "The Effects of linear time trends on conintegration testing in single equations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18294, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Uwe Hassler & Mehdi Hosseinkouchack, 2016. "Panel Cointegration Testing in the Presence of Linear Time Trends," Econometrics, MDPI, vol. 4(4), pages 1-16, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:22:y:2001:i:3:p:283-292. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.