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

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  • Kramer, 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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  • Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
    • Handle: RePEc:eee:ecolet:v:82:y:2004:i:1:p:63-69
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    5. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
    6. Dolado, Juan J. & Marmol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," Economics Letters, Elsevier, vol. 57(1), pages 11-16, November.
    7. Marmol, Francesc, 1998. "Searching for fractional evidence using combined unit root tests," DES - Working Papers. Statistics and Econometrics. WS 10613, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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    11. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    12. Jeganathan, P., 1999. "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 15(4), pages 583-621, August.
    13. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
    14. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
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    Cited by:

    1. Ingolf Dittmann, 2000. "Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
    2. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    3. Sibbertsen, Philipp & Kramer, Walter, 2006. "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 91(3), pages 321-324, June.
    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, vol. 87(C), pages 19-29.
    5. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    6. Hélène Chevrou-Séverac, 2002. "Convergence monétaire européenne, PPA et PINC," Économie et Prévision, Programme National Persée, vol. 155(4), pages 79-94.

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