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

Ghassen El Montasser, Talel Boufateh and Fakhri Issaoui

EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: 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.

Keywords: Deterministic seasonality; Seasonal KPSS Test; Monte Carlo Simulations. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2013-04-07
New Economics Papers: this item is included in nep-ets
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http://www.eeri.eu/documents/wp/EERI_RP_2013_07.pdf (application/pdf)

Related works:
Working Paper: The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eei:rpaper:eeri_rp_2013_07

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