The KPSS Test with Seasonal Dummies

It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used

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Year of publication:	2003
Authors:	Jin, Sainan ; Phillips, Peter C. B.
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Einheitswurzeltest \| Unit root test

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2002 erstellt
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014115850