The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis
AbstractThis 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.
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Bibliographic InfoPaper provided by Economics and Econometrics Research Institute (EERI), Brussels in its series EERI Research Paper Series with number EERI RP 2013/07.
Date of creation: 07 Apr 2013
Date of revision:
Deterministic seasonality; Seasonal KPSS Test; Monte Carlo Simulations.;
Other versions of this item:
- El Montasser, Ghassen & Boufateh, Talel & Issaoui, Fakhri, 2013. "The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis," MPRA Paper 46226, University Library of Munich, Germany.
- 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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