We study the scaling regimes for the Kardar-Parisi-Zhang equation with noise correlator R(q) ~ (1 + w q^{-2 rho}) in Fourier space, as a function of rho and the spatial dimension d. By means of a stochastic Cole-Hopf transformation, the critical and correction-to-scaling exponents at the roughening transition are determined to all orders in a (d - d_c) expansion. We also argue that there is a intriguing possibility that the rough phases above and below the lower critical dimension d_c = 2 (1 + rho) are genuinely different which could lead to a re-interpretation of results in the literature.