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

Fachartikel 313

Fachbereich
Statistik/Ökonometrie
Fachrichtung
Statistik
Artikel
2006
Sprache
englisch
Co Autoren
Philipp Sibbertsen

Beschreibung

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 out set up.

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