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On GLS-detrending for deterministic seasonality testing

Anton Skrobotov ()

Working Papers from Gaidar Institute for Economic Policy

Abstract: In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the proposed tests when the initial condition is not asymptotically negligible.

Keywords: Stationarity tests; KPSS test; seasonality; seasonal unit roots; deterministic seasonality; size distortion; GLS-detrending (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013, Revised 2014
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.iep.ru/files/RePEc/gai/wpaper/0073Skrobotov.pdf Revised version, 2013 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:gai:wpaper:0073

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