The KPSS test with seasonal dummies

DOI10.1016/S0165-1765(02)00127-1zbMath1027.91065OpenAlexW3121754208MaRDI QIDQ1852916

Sainan Jin, Peter C. B. Phillips

Publication date: 21 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00127-1

zbMATH Keywords

Unit rootKPSS testSeasonal dummiesStationarity test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

A regime switching long memory model for electricity prices, Effect of neglected deterministic seasonality on unit root tests, Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Asymptotics for linear processes
• The Econometric Analysis of Seasonal Time Series
• Time Series Regression with a Unit Root