The power of the KPSS-test for cointegration when residuals are fractionally integrated

DOI10.1016/j.econlet.2005.12.013zbMath1254.91621OpenAlexW1995470998MaRDI QIDQ1929109

Philipp Sibbertsen, Walter Kramer

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-318.pdf

zbMATH Keywords

powercointegrationlong memoryKPSS-test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Weak convergence of multivariate fractional processes
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Asymptotic Properties of Residual Based Tests for Cointegration

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