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The Kpss Test With Seasonal Dummies, Sainan Jin, Sainan Jin
The Kpss Test With Seasonal Dummies, Sainan Jin, Sainan Jin
Research Collection School Of Economics
It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.