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TESTING FOR PERIODIC STATIONARITY 

Author: Eiji Kurozumi a
Affiliation:   a Department of Economics, Hitotsubashi University, Japan
DOI: 10.1081/ETC-120014351
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 21, Issue 2 January 2002 , pages 243 - 270
Formats available: HTML (English) : PDF (English)
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Abstract

This paper proposes a test for the null hypothesis of periodic stationarity against the alternative hypothesis of periodic integration. We derive the limiting distribution of the test statistic and its characteristic function, which are the same as those of the test developed in Kwiatkowski, Phillips, Schmidt and Shin.[15] We find that some parameters, which we must assume under the alternative, have an important effect on the limiting power, so we should choose such parameters carefully. A Monte Carlo simulation reveals that the test has reasonable power but may be affected by the lag truncation parameter that is used for the correction of nuisance parameters.
Keywords: Periodic stationarity; Periodic integration; Hypothesis testing; JEL Classification; C22; C32
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