Arbeitspapier
The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: EERI Research Paper Series ; No. 07/2013
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Deterministic seasonality
Seasonal KPSS Test
Monte Carlo Simulations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Montasser, Ghassen El
Boufateh, Talel
Issaoui, Fakhri
- Ereignis
-
Veröffentlichung
- (wer)
-
Economics and Econometrics Research Institute (EERI)
- (wo)
-
Brussels
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Montasser, Ghassen El
- Boufateh, Talel
- Issaoui, Fakhri
- Economics and Econometrics Research Institute (EERI)
Entstanden
- 2013
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