Re: [Gretl-devel] two issues
On Sun, 10 Jul 2011, Allin Cottrell wrote:
On Sat, 9 Jul 2011, Sven Schreiber wrote:
> two questions/comments:
>
> Why isn't it possible to specify seasonal dummies for the KPSS test?
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)
I committed some modification to CVS so that the kpss command now accepts
a --seasonals option. As everyone knows, GTK mysteries elude me, so you'll
find no changes in the GUI client.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti