Resource title

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

Resource image

image for OpenScout resource :: The Power of the KPSS{Test for Cointegration when Residuals are Fractionally Integrated

Resource description

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.

Resource author

Philipp Sibbertsen, Walter Krämer

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22430

Resource license

Adapt according to the presented license agreement and reference the original author.