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

Autor: Philipp Sibbertsen and Walter Krämer
Nummer: 318, Jun 2005, pp. 7
JEL-Class: C12, C32

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.

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