The KPSS test with seasonal dummies
AbstractIt is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 77 (2002)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
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