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The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis

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  • El Montasser, Ghassen
  • Boufateh, Talel
  • Issaoui, Fakhri

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

  • El Montasser, Ghassen & Boufateh, Talel & Issaoui, Fakhri, 2013. "The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis," MPRA Paper 46226, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46226
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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:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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