An Extension of the Seasonal KPSS Test
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Published
Aug 14, 2023
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Sami Khedhiri
University of Prince Edward Island, Charlottetown, PEI, Canada
Ghassen El Montasser
University of Manouba, Tunis, Tunisia
Abstract
The limit theory of the seasonal KPSS test is established under the null hypothesis using seasonal dummy variables. Taking these variables into account can result in improved finite sample performance of the test. The seasonal KPSS test can be interpreted as a test of deterministic seasonality and it may be used in addition to seasonal unit root tests to analyze the dynamic properties of time series. The seasonal indicator variables provide the test with an explicit model-based regression that in itself constitutes a support for its limit theory.
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