Munich Personal RePEc Archive

The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis

El Montasser, Ghassen and Boufateh, Talel and Issaoui, Fakhri (2013): The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis.

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Abstract

This paper shows through a Monte Carlo analysis the effect of neglecting seasonal deterministics on the seasonal KPSS test. We found that the test is most of the time heavily oversized and not convergent in this case. In addition, Bartlett-type non-parametric correction of error variances did not signally change the test's rejection frequencies.

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