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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2002
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sg-smu-ink.soe_research-29982017-08-10T09:41:38Z The KPSS test with seasonal dummies JIN, Sainan JIN, Sainan 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. 2002-10-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1999 info:doi/10.1016/S0165-1765(02)00127-1 https://ink.library.smu.edu.sg/context/soe_research/article/2998/viewcontent/1_s20_S0165176502001271_main.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University KPSS Test Seasonal Dummies Stationarity Test Unit Root Econometrics Statistical Models |
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KPSS Test Seasonal Dummies Stationarity Test Unit Root Econometrics Statistical Models |
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KPSS Test Seasonal Dummies Stationarity Test Unit Root Econometrics Statistical Models JIN, Sainan JIN, Sainan The KPSS test with seasonal dummies |
| description |
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. |
| format |
text |
| author |
JIN, Sainan JIN, Sainan |
| author_facet |
JIN, Sainan JIN, Sainan |
| author_sort |
JIN, Sainan |
| title |
The KPSS test with seasonal dummies |
| title_short |
The KPSS test with seasonal dummies |
| title_full |
The KPSS test with seasonal dummies |
| title_fullStr |
The KPSS test with seasonal dummies |
| title_full_unstemmed |
The KPSS test with seasonal dummies |
| title_sort |
kpss test with seasonal dummies |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2002 |
| url |
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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