European Business Schools Librarian's Group

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 354: The seasonal KPSS statistic

Johan Lyhagen ()
Additional contact information
Johan Lyhagen: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

Abstract: In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.

Keywords: Seasonal; unit; roots

JEL-codes: C12; C22

4 pages, January 30, 2000

Full text files 

hastef0354.pdf.zip PDF-file Full text
hastef0354.pdf PDF-file Full text
hastef0354.ps PostScript file Full text
hastef0354.ps.zip PostScript file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-03-10 04:36:01.