Re: [Gretl-devel] two issues
Am 10.07.2011 09:38, schrieb Riccardo (Jack) Lucchetti:
On Sun, 10 Jul 2011, Allin Cottrell wrote:
>
> Are we assured that the distribution of the test statistic is
> invariant with respect to seasonal dummies?
We are. PCB in person said so, so we should be safe:
Phillips, Peter C. B. & Jin, Sainan, 2002.
"The KPSS test with seasonal dummies," Economics Letters, Elsevier, vol.
77(2), pages 239-243, October.
(http://www.sciencedirect.com/science/article/pii/S0165176502001271)
Actually I thought it was already in the original KPSS article, but this
is also good to know.
I committed some modification to CVS so that the kpss command now
accepts a --seasonals option.
very nice, thanks.
-sven