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 University Library of Munich, Germany in its series MPRA Paper with number 46226.
Date of creation: 15 Apr 2013
Date of revision:
Deterministic seasonality; Seasonal KPSS Test; Monte Carlo Simulations.;
Other versions of this item:
- Ghassen El Montasser & Talel Boufateh & Fakhri Issaoui, 2013. "The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis," EERI Research Paper Series EERI RP 2013/07, Economics and Econometrics Research Institute (EERI), Brussels.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-20 (All new papers)
- NEP-ECM-2013-04-20 (Econometrics)
- NEP-ETS-2013-04-20 (Econometric Time Series)
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