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.KPSS test, Seasonal dummies, Stationarity test, Unit root

Peter C.B. Phillips

Sainan Jin

Somali

Research Papers in Economics

THE KPSS TEST WITH SEASONAL DUMMIES
By
Sainan Jin and Peter C. B. Phillips
May 2002
COWLES FOUNDATION DISCUSSION PAPER NO. 1373
COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
YALE UNIVERSITY
Box 208281
New Haven, Connecticut 06520-8281
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9

The KPSS Test with Seasonal Dummies

http://cowles.econ.yale.edu/P/cd/d13b/d1373.pdf

The KPSS Test with Seasonal Dummies

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