The power of the KPSS-test for cointegration when residuals are fractionally integrated
AbstractWe 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. --
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 91 (2006)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-318, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sibbertsen, Philipp & Krämer, Walter, 2004. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Technical Reports 2004,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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