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The power of residual-based tests for cointegration when residuals are fractionally integrated

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  • Krämer, Walter
  • Marmol, Francesc

Abstract

This paper is concerned with testing the null hypothesis of no cointegration among I(1) variables when the cointegration residuals are I(d) with 0 5. --

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Paper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 1998,42.

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Date of creation: 1998
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Handle: RePEc:zbw:sfb475:199842

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  1. Dittmann, Ingolf, 1998. "Fractional cointegration of voting and non-voting shares," Technical Reports 1998,40, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  2. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 285-302, July.
  3. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, Elsevier, vol. 45(1), pages 1-5, May.
  4. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, Econometric Society, vol. 58(1), pages 165-93, January.
  5. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, Elsevier, vol. 61(3), pages 269-272, December.
  6. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
  7. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(1), pages 103-12, January.
  8. Andersson, Michael K. & Gredenhoff, Mikael P., 1999. "On the maximum likelihood cointegration procedure under a fractional equilibrium error," Economics Letters, Elsevier, Elsevier, vol. 65(2), pages 143-147, November.
  9. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  10. Jeganathan, P., 1999. "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 15(04), pages 583-621, August.
  11. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(2), pages 189-209, September.
  12. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, Econometric Society, vol. 58(2), pages 495-505, March.
  13. Dolado, Juan J. & Marmol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," Economics Letters, Elsevier, Elsevier, vol. 57(1), pages 11-16, November.
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Cited by:
  1. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-318, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers, Queen's University, Department of Economics 1029, Queen's University, Department of Economics.
  3. Dittmann, Ingolf, 1998. "Residual-based tests for fractional cointegration: A Monte Carlo study," Technical Reports 1998,09, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 87(C), pages 19-29.

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