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
Authors:	Montasser, Ghassen El ; Boufateh, Talel ; Issaoui, Fakhri
Publisher:	Brussels : Economics and Econometrics Research Institute (EERI)
Subject:	Deterministic seasonality \| Seasonal KPSS Test \| Monte Carlo Simulations

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Series:	EERI Research Paper Series ; 07/2013
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	866768637 [GVK] hdl:10419/142658 [Handle] RePEc:eei:rpaper:EERI_RP_2013_07 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011496199