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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 354:
The seasonal KPSS statistic

Johan Lyhagen ()

Abstract: In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.

Keywords: Seasonal; unit; roots; (follow links to similar papers)

JEL-Codes: C12; C22; (follow links to similar papers)

4 pages, January 30, 2000

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