On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives
It shown that the multivariate version of KPSS test of Nyblom and Harvey (Econometric Theory, 16, 176-199, 2000) is consistent for the null of I(0) against the I(d) alternative. Simulation evidence is given to show the gain in power that is obtained from the multivariate approach.
Volume (Year): 10 (2003)
Issue (Month): 10 ()
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