The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
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 کاملSample size, lag order and critical values of seasonal unit root tests
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 کاملLag Length Selection and the Construction of Unit Root Tests with Good Size and Power
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. ...
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...
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 Reviews
سال: 2014
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2013.807710