Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis

Contents:

Author Info

  • Ghassen El Montasser
  • Talel Boufateh
  • Fakhri Issaoui

Abstract

This paper shows through a Monte Carlo analysis the effect of neglecting seasonal deterministics on the seasonal KPSS test. We found that the test is most of the time heavily oversized and not convergent in this case. In addition, Bartlett-type non-parametric correction of error variances did not signally change the test's rejection frequencies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.eeri.eu/documents/wp/EERI_RP_2013_07.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Economics and Econometrics Research Institute (EERI), Brussels in its series EERI Research Paper Series with number EERI RP 2013/07.

as in new window
Length:
Date of creation: 07 Apr 2013
Date of revision:
Handle: RePEc:eei:rpaper:eeri_rp_2013_07

Contact details of provider:
Postal: Avenue de Beaulieu, 1160 Brussels
Phone: +322 299 3523
Fax: +322 299 3523
Email:
Web page: http://www.eeri.eu/index.htm
More information through EDIRC

Related research

Keywords: Deterministic seasonality; Seasonal KPSS Test; Monte Carlo Simulations.;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995. "Spurious deterministic seasonality," Economics Letters, Elsevier, Elsevier, vol. 48(3-4), pages 249-256, June.
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 979, Cowles Foundation for Research in Economics, Yale University.
  3. Lee, Junsoo & Huang, Cliff J. & Shin, Yongcheol, 1997. "On stationary tests in the presence of structural breaks," Economics Letters, Elsevier, Elsevier, vol. 55(2), pages 165-172, August.
  4. Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part Ii," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 15(04), pages 469-518, August.
  5. Artur C. B. da Silva Lopes, 1999. "Spurious deterministic seasonality and autocorrelation corrections with quarterly data: Further Monte Carlo results," Empirical Economics, Springer, Springer, vol. 24(2), pages 341-359.
  6. Matei Demetrescu & Uwe Hassler, 2007. "Effect of neglected deterministic seasonality on unit root tests," Statistical Papers, Springer, Springer, vol. 48(3), pages 385-402, September.
  7. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 61(2), pages 259-272, April.
  8. Fabio Busetti, 2004. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, EconWPA 0411003, EconWPA.
  9. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 25(1), pages 33-53, 01.
  10. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June.
  11. repec:ebl:ecbull:v:3:y:2006:i:13:p:1-9 is not listed on IDEAS
  12. Busetti, Fabio & Taylor, A M Robert, 2003. "Variance Shifts, Structural Breaks, and Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(4), pages 510-31, October.
  13. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.
  14. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
  15. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eei:rpaper:eeri_rp_2013_07. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julia van Hove).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.