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 suff er 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
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Kleinste-Quadrate-Methode \| Least squares method \| Saisonkomponente \| Seasonal component \| Saisonale Schwankungen \| Seasonal variations \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Statistischer Test \| Statistical test \| Einheitswurzeltest \| Unit root test

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