On GLS-detrending for deterministic seasonality testing

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the proposed tests when the initial condition is not asymptotically negligible.

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Year of publication:	2013
Authors:	Skrobotov, Anton
Institutions:	Gaidar Institute for Economic Policy
Subject:	Stationarity tests \| KPSS test \| seasonality \| seasonal unit roots \| deterministic seasonality \| size distortion \| GLS-detrending

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010764503