Open Access Open Access  Restricted Access Subscription Access

The Seasonal KPSS Test with Deterministic Seasonality

S. Khedhiri, G. El Montasser

Abstract


In this paper, we establish the limit theory of the seasonal KPSS test [The seasonal KPSS statistic, Econom. Bull. 3 (2006), pp. 1-9] under the null by involving seasonal dummies. Taking these variables into account can be advantageous through different levels. On the one hand, the seasonal KPSS test can be interpreted as a test of deterministic seasonality. Moreover, it could be used complementarily with seasonal unit root tests to analyse rigorously the dynamic properties of time series. On the other hand, the inclusion of seasonal dummies provides the test with an explicit model based regression that constitutes in itself a compulsory support for its limit theory.

Keywords


KPSS test, deterministic seasonality, Brownian motion

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.