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:	2013-04-15
Authors:	El Montasser, Ghassen ; Boufateh, Talel ; Issaoui, Fakhri
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Deterministic seasonality \| Seasonal KPSS Test \| Monte Carlo Simulations

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011109688