Authors: | Krämer, Walter Sibbertsen, Philipp |
Title: | The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated |
Language (ISO): | en |
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. 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. |
Subject Headings: | cointegration power long memory KPSS-Test |
URI: | http://hdl.handle.net/2003/4902 http://dx.doi.org/10.17877/DE290R-6819 |
Issue Date: | 2004 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr31-04.pdf | DNB | 93.98 kB | Adobe PDF | View/Open |
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