ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
نویسندگان
چکیده
منابع مشابه
On augmented HEGY tests for seasonal unit roots
The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowi...
متن کاملOn Phillips-perron Type Tests for Seasonal Unit Roots
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238)+ The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range ~0,p#+ Monte Carlo simulations suggest that the test may have more powe...
متن کاملTesting for Seasonal Unit Roots
This paper examines, both theoretically and through Monte Carlo analysis, the implications of applying the HEGY seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered. In the context of the HEGY regression, the asymptotic distribution of the zero frequency test statistic is dependent on the coefficients of the p...
متن کاملOn Regression-based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity∗
In this paper we analyse the behaviour of regression-based tests for seasonal unit roots when the error process is periodically heteroscedastic. We show, using the case of quarterly data to illustrate, that the limiting null distributions of tests for unit roots at the zero and Nyquist frequencies are unaffected by the presence of periodic heteroscedastic behaviour in the error process. Tests a...
متن کاملF versus t tests for unit roots
F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Theory
سال: 2012
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466612000060