CFDP 1373

The KPSS Test with Seasonal Dummies

Author(s): 

Publication Date: May 2002

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.

Keywords: 

KPSS test, Seasonal dummies, Stationarity test, Unit root

JEL Classification Codes:  C32

See CFP: 1132