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.
- Language
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Englisch
- Bibliographic citation
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Series: Diskussionsbeitrag ; No. 318
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Hypothesis Testing: General
- Subject
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cointegration
power
long memory
KPSS-Test
- Event
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Geistige Schöpfung
- (who)
-
Sibbertsen, Philipp
Krämer, Walter
- Event
-
Veröffentlichung
- (who)
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Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sibbertsen, Philipp
- Krämer, Walter
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2005
Other Objects (12)
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
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Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
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Fractional integration and the augmented dickey-fuller test
Essays on cointegration analysis in the state space framework
Finite sample of the Durbin-Watson test against fractionally integrated disturbances
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
The power of residual-based tests for cointegration when residuals are fractionally integrated
Diplomakte Walter Krämer
Walter Krämer
Kinderhort
Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
The robustness of the F-test to spatial autocorrelation among regression disturbances
The cult of statistical significance
On the ordering of probability forecasts
Fractional integration and the augmented dickey-fuller test
Essays on cointegration analysis in the state space framework
Finite sample of the Durbin-Watson test against fractionally integrated disturbances
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
The power of residual-based tests for cointegration when residuals are fractionally integrated
Diplomakte Walter Krämer
Walter Krämer
Kinderhort
Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
The robustness of the F-test to spatial autocorrelation among regression disturbances
The cult of statistical significance
On the ordering of probability forecasts
Fractional integration and the augmented dickey-fuller test
Essays on cointegration analysis in the state space framework