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The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated

  • Sibbertsen, Philipp
  • Krämer, Walter

We 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. The divergence rate is independent of the order of integration of the cointegrating regressors which are allowed to be I(1 + dX) in our set up.

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File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-318.pdf
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Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-318.

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Length: 7 pages
Date of creation: Jun 2005
Date of revision:
Handle: RePEc:han:dpaper:dp-318
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  1. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
  2. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  3. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
  4. Krämer, Walter & Marmol, Francesc, 1998. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Technical Reports 1998,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers 9111, Michigan State - Econometrics and Economic Theory.
  6. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
  7. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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