Abstract
The limit theory of the seasonal KPSS test is established under the null hypothesis using seasonal dummy variables. Taking these variables into account can result in improved finite sample performance of the test. The seasonal KPSS test can be interpreted as a test of deterministic seasonality and it may be used in addition to seasonal unit root tests to analyze the dynamic properties of time series. The seasonal indicator variables provide the test with an explicit model-based regression that in itself constitutes a support for its limit theory.
DOI
10.22237/jmasm/1335845100
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
