Publication Type

Journal Article

Publication Date

10-2002

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

Discipline

Econometrics | Statistical Models

Research Areas

Econometrics

Publication

Economics Letters

Volume

77

Issue

2

First Page

239

Last Page

243

ISSN

0165-1765

Identifier

10.1016/S0165-1765(02)00127-1

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

https://doi.org/10.1016/S0165-1765(02)00127-1

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