Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 321-324 |
| Seitenumfang | 4 |
| Fachzeitschrift | Economics letters |
| Jahrgang | 91 |
| Ausgabenummer | 3 |
| Frühes Online-Datum | 24 Apr. 2006 |
| Publikationsstatus | Veröffentlicht - Juni 2006 |
Abstract
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.
ASJC Scopus Sachgebiete
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Economics letters, Jahrgang 91, Nr. 3, 06.2006, S. 321-324.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - The power of the KPSS-test for cointegration when residuals are fractionally integrated
AU - Sibbertsen, Philipp
AU - Krämer, Walter
N1 - Funding Information: Research supported by Deutsche Forschungsgemeinschaft under SFB 475. We are grateful to Christoph Hanck and an anonymous referee for helpful criticism and comments.
PY - 2006/6
Y1 - 2006/6
N2 - 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.
AB - 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.
KW - Cointegration
KW - KPSS-test
KW - Long memory
KW - Power
UR - http://www.scopus.com/inward/record.url?scp=33646778838&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2005.12.013
DO - 10.1016/j.econlet.2005.12.013
M3 - Article
AN - SCOPUS:33646778838
VL - 91
SP - 321
EP - 324
JO - Economics letters
JF - Economics letters
SN - 0165-1765
IS - 3
ER -