TESTING FOR PERIODIC STATIONARITY

Econometric Reviews, 2002, vol. 21, issue 2, 243-270

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 (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1081/ETC-120014351 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:21:y:2002:i:2:p:243-270

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1081/ETC-120014351

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().