Download This PaperThe KPSS Test with Seasonal Dummies
7 Pages Posted: 13 Jun 2002
Date Written: May 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
JEL Classification: C32
Suggested Citation: Suggested Citation
Jin, Sainan and Phillips, Peter C. B., The KPSS Test with Seasonal Dummies (May 2002). Available at SSRN: https://ssrn.com/abstract=313008
Peter C. B. Phillips (Contact Author)
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