The seasonal KPSS statistic

Johan Lyhagen ()
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Johan Lyhagen: Uppsala University

Economics Bulletin, 2006, vol. 3, issue 13, 1-9

Abstract: In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2006-05-25
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Citations: View citations in EconPapers (7)

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