|Title:||The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated|
|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.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
This item is protected by original copyright
All resources in the repository are protected by copyright.