The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis

This 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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Year of publication:	2013-04-07
Authors:	Montasser, Ghassen El ; Boufateh, Talel ; Issaoui, Fakhri
Institutions:	Economics and Econometrics Research Institute (EERI)
Subject:	Deterministic seasonality \| Seasonal KPSS Test \| Monte Carlo Simulations

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Extent:	application/pdf
Series:	EERI Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number EERI RP 2013/07
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010903901