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The seasonal KPSS statistic

Author

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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.

Suggested Citation

  • Lyhagen, Johan, 2000. "The seasonal KPSS statistic," SSE/EFI Working Paper Series in Economics and Finance 354, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0354
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    Citations

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    Cited by:

    1. Mårten Löf & Johan Lyhagen, 2003. "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
    2. Phillips, Peter C. B. & Jin, Sainan, 2002. "The KPSS test with seasonal dummies," Economics Letters, Elsevier, vol. 77(2), pages 239-243, October.
    3. 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.

    More about this item

    Keywords

    Seasonal; unit; roots;
    All these keywords.

    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; Diffusion Processes

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