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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2002
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1999 https://ink.library.smu.edu.sg/context/soe_research/article/2998/viewcontent/1_s20_S0165176502001271_main.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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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