On GLS -- Detrending for Deterministic Seasonality Testing

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2013 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Anton Skrobotov;

doi: 10.2139/ssrn.2356868

On GLS -- Detrending for Deterministic Seasonality Testing

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Abstract

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the proposed tests when the initial condition is not asymptotically negligible.

Related Organizations

The Russian Presidential Academy of National Economy and Public Administration
Russian Federation

Keywords

Stationarity tests, KPSS test, seasonality, seasonal unit roots, deterministic seasonality, size distortion, GLS-detrending, jel: jel:C12, jel: jel:C22

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