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
Citation
JIN, Sainan and JIN, Sainan.
The KPSS test with seasonal dummies. (2002). Economics Letters. 77, (2), 239-243. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/1999
Creative Commons 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