TESTING FOR PERIODIC STATIONARITY
提出一种检验周期性平稳性（零假设）对周期性积分（备择假设）的统计方法，推导了检验统计量的极限分布，并通过蒙特卡洛模拟评估其检验功效。
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] Kwiatkowski, D., Phillips, P.C. B., Schmidt, P. and Shin, Y. 1992. Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root.. Journal of Econometrics, 54: 159–178. [Crossref], [Web of Science ®] , [Google Scholar] 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.