@TechReport{dp-318,
  author        = {Sibbertsen, Philipp and Krämer, Walter},
  astring       = {Philipp Sibbertsen and Walter Krämer},
  title         = {The Power of the KPSS-Test for Cointegration when
                  Residuals are Fractionally Integrated},
  month         = {June},
  year          = {2005},
  pages         = {7},
  size          = {103},
  number        = {318},
  language      = {en},
  keywords      = {cointegration, power, long memory, KPSS-Test},
  jelclass      = {C12, C32},
  zfassung      = {},
  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.}
}