Document Type
Discussion Paper
Publication Date
5-1-2002
CFDP Number
1373
CFDP Pages
6
Abstract
It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.
Recommended Citation
Jin, Sainan and Phillips, Peter C.B., "The KPSS Test with Seasonal Dummies" (2002). Cowles Foundation Discussion Papers. 1637.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1637