The seasonal KPSS statistic
AbstractIn 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 354.
Length: 4 pages
Date of creation: 30 Jan 2000
Date of revision:
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Seasonal; unit; roots;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-02-07 (All new papers)
- NEP-ECM-2000-02-07 (Econometrics)
- NEP-ETS-2000-02-07 (Econometric Time Series)
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- 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.
- Phillips, Peter C. B. & Jin, Sainan, 2002.
"The KPSS test with seasonal dummies,"
Elsevier, vol. 77(2), pages 239-243, October.
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