The seasonal KPSS statistic

Johan Lyhagen ()

No 354, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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.

Keywords: Seasonal; unit; roots (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 4 pages
Date: 2000-01-30
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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