Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142658
Authors: 
Montasser, Ghassen El
Boufateh, Talel
Issaoui, Fakhri
Year of Publication: 
2013
Series/Report no.: 
EERI Research Paper Series 07/2013
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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