The Lag-length Selection and Detrending Methods for HEGY Seasonal Unit-root Tests Using Stata
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...
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It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We consider a class of Modified Information Criteria (MIC) with a penalty factor that is sample dependent. ...
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This paper presents a response surface analysis for the distributions of the popular tests for seasonal unit roots in quarterly observed time series variables developed by Hylleberg et al. (1990). Approximate asymptotic distributions are obtained, and response surface coefficients for 1%-, 5%and 10%-level critical values are reported, permitting simple computation of accurate critical values fo...
متن کاملRegression-based seasonal unit root tests
The contribution of this paper is three-fold. Firstly, a characterisation theorem of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regressionbased tests for the seasonal unit root hypothesis which allow a general se...
متن کاملSeasonal Unit Root Tests Under Structural Breaks
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...
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ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2016
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x1601600312