Title of article :
The power of the KPSS-test for cointegration when residuals are fractionally integrated
Author/Authors :
Philipp Sibbertsen، نويسنده , , Walter Kramer، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
4
From page :
321
To page :
324
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 , Long memory , KPSS-test , Power
Journal title :
Economics Letters
Serial Year :
2006
Journal title :
Economics Letters
Record number :
435937
Link To Document :
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