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Johan Lyhagen
''The seasonal KPSS statistic''
( 2006, Vol. 3 No.13 )
In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.
JEL: C2 - Single Equation Models; Single Variables: General
Manuscript Received : Mar 17 2006 Manuscript Accepted : May 25 2006

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