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...

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...

This paper studies the dynamic effect of oil rents on industrial added value in a sample of countries with different levels of development. Using a SVAR model, we tested the effect of a real shock and a nominal shock on the variables of the model. The main obtained results are three. First,...

The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a...

This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...