Montasser, Ghassen El; Boufateh, Talel; Issaoui, Fakhri - Economics and Econometrics Research Institute (EERI) - 2013
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...
