The KPSS Test with Seasonal Dummies

Sainan Jin and Peter Phillips

No 1373, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: KPSS test; Seasonal dummies; Stationarity test; Unit root (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 6 pages
Date: 2002-05
Note: CFP 1132.
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Citations: View citations in EconPapers (11)

Published in Economics Letters (2002), 77(2): 239-243

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