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The seasonal KPSS statistic

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  • Lyhagen, Johan

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 354.

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Length: 4 pages
Date of creation: 30 Jan 2000
Date of revision:
Handle: RePEc:hhs:hastef:0354

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Related research

Keywords: Seasonal; unit; roots;

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Cited by:
  1. Sainan Jin & Peter C.B. Phillips, 2002. "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers 1373, Cowles Foundation for Research in Economics, Yale University.
  2. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.

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