Details
| Original language | English |
|---|---|
| Pages (from-to) | 321-324 |
| Number of pages | 4 |
| Journal | Economics letters |
| Volume | 91 |
| Issue number | 3 |
| Early online date | 24 Apr 2006 |
| Publication status | Published - Jun 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.
Keywords
- Cointegration, KPSS-test, Long memory, Power
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Economics letters, Vol. 91, No. 3, 06.2006, p. 321-324.
Research output: Contribution to journal › Article › Research › 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 -