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

dc.contributor.author	Krämer, Walter	de
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:39:21Z
dc.date.available	2004-12-06T18:39:21Z
dc.date.issued	2004	de
dc.description.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.	en
dc.format.extent	96239 bytes
dc.format.mimetype	application/pdf
dc.identifier.uri	http://hdl.handle.net/2003/4902
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-6819
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	cointegration	en
dc.subject	power	en
dc.subject	long memory	en
dc.subject	KPSS-Test	en
dc.subject.ddc	310	de
dc.title	The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

Files

Now showing 1 - 1 of 1