Arbeitspapier
The Power of the KPSS{Test for Cointegration when Residuals are Fractionally Integrated
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 318
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Hypothesis Testing: General
- Thema
-
cointegration
power
long memory
KPSS-Test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sibbertsen, Philipp
Krämer, Walter
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sibbertsen, Philipp
- Krämer, Walter
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2005
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