Resource title

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

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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. This is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is drastically reduced when residuals are used.

Resource author

Philipp Sibbertsen, Walter Krämer

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22543

Resource license

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