COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1373

The KPSS Test with Seasonal Dummies

Sainan Jin and Peter C.B. Phillips

May 2002

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.

Keywords: KPSS test, Seasonal dummies, Stationarity test, Unit root

JEL Classification: C32