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Applied Economics Letters Volume 10, 2003 - Issue 10
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Original Articles

On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives

Jen-Je Su Department of Applied and International Economics, Massey University, Private Bag 11 222, Palmerston North, New Zealand, E-mail: [email protected]
Pages 637-641 | Published online: 06 Oct 2010
 
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Abstract

It shown that the multivariate version of KPSS test of Nyblom and Harvey (Econometric Theory, 16, 176-199, 2000) is consistent for the null of I(0) against the I(d) alternative. Simulation evidence is given to show the gain in power that is obtained from the multivariate approach.

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