Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/142658 
Year of Publication: 
2013
Series/Report no.: 
EERI Research Paper Series No. 07/2013
Publisher: 
Economics and Econometrics Research Institute (EERI), Brussels
Abstract: 
This paper shows through a Monte Carlo analysis the effect of neglecting seasonal deterministics on the seasonal KPSS test. We found that the test is most of the time heavily oversized and not convergent in this case. In addition, Bartlett-type non-parametric correction of error variances did not signally change the test's rejection frequencies.
Subjects: 
Deterministic seasonality
Seasonal KPSS Test
Monte Carlo Simulations
JEL: 
C32
Document Type: 
Working Paper

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