Template-Type: ReDIF-Paper 1.0
Author-Name:Anton Skrobotov
Author-Name-First: Anton 
Author-Name-Last: Skrobotov
Author-Workplace-Name: RANEPA
Title:    On GLS-detrending for deterministic seasonality testing
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.
Length:  23 pages
Creation-Date: 2013
Revision-Date:   2014
Classification-JEL: C12, C22
Keywords:  Stationarity tests, KPSS test, seasonality, seasonal unit roots, deterministic seasonality, size distortion, GLS-detrending
File-URL: https://www.iep.ru/files/RePEc/gai/wpaper/0073Skrobotov.pdf
File-Format: Application/pdf
File-Function: Revised version, 2013
Handle: RePEc:gai:wpaper:0073