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Full-Text Articles in Social and Behavioral Sciences
The Kpss Test With Seasonal Dummies, Sainan Jin, Peter C.B. Phillips
The Kpss Test With Seasonal Dummies, Sainan Jin, Peter C.B. Phillips
Cowles Foundation Discussion Papers
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.
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Cowles Foundation Discussion Papers
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root tests based on the semiparametric estimate of the autoregressive parameter have a limiting distribution which is a mixture of a standard normal and the Dickey-Fuller distribution. A Monte …