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

An Extension of the Seasonal KPSS Test

Estimating seasonal long-memory processes: a Monte Carlo study

This paper discusses extensions of the popular methods proposed by Geweke and Porter-Hudak [Geweke, J. and Porter-Hudak, S., 1983, The estimation and application of long memory times series models. Journal of Time Series Analysis, 4(4), 221–238.] and Fox and Taqqu [Fox, R. and Taqqu, M.S., 1986, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time serie...

Inappropriate use of seasonal dummies in regression *

The underlying assumption for using seasonal dummies in a regression is that the seasonality of the dependent variable is deterministic. Many economic variables show a regular seasonal pattern, with peaks occuring in the same season year after year. Such a regular seasonal pattern can also be a result of an integrated stochastic process. This paper examines some consequences of deterministic mo...

The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms

The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a seasonal time series, such a use is rarely noted in the relevant studies on this topic. Recently, the ...

The KPSS Test with Outliers

We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests. The empirical size of these tests is also found to be sensitive to the location of the outlier. JEL classification: C15, C22