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The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis

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  • Ghassen El Montasser
  • Talel Boufateh
  • Fakhri Issaoui

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.

Suggested Citation

  • Ghassen El Montasser & Talel Boufateh & Fakhri Issaoui, 2013. "The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis," EERI Research Paper Series EERI RP 2013/07, Economics and Econometrics Research Institute (EERI), Brussels.
    • Handle: RePEc:eei:rpaper:eeri_rp_2013_07
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    References listed on IDEAS

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    More about this item

    Keywords

    Deterministic seasonality; Seasonal KPSS Test; Monte Carlo Simulations.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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