HEGY Tests in the Presence of Moving Averages
AbstractWe analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the presumed null distributions when a fixed order of autoregressive augmentation is applied, these effects disappear when the order of augmentation is sufficiently large. However, as found by Burridge and Taylor (2001) for the autoregressive case, individual t-ratio tests at the the semi-annual frequency are not pivotal even with high orders of augmentation, although the corresponding joint F-type statistic is pivotal. Monte Carlo simulations verify the importance of the order of augmentation for finite samples generated by seasonally integrated moving average processes.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 73 (2011)
Issue (Month): 5 (October)
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Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Tomas del Barrio Castro, 2007.
"Using the HEGY Procedure When Not All Roots Are Present,"
Working Papers in Economics
170, Universitat de Barcelona. Espai de Recerca en Economia.
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 910-922, November.
- del Barrio Castro, Tomas, 2006. "On the performance of the DHF tests against nonstationary alternatives," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 291-297, February.
- Castro, Tomas del Barrio & Osborn, Denise R., 2008. "Testing For Seasonal Unit Roots In Periodic Integrated Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1093-1129, August.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011.
"On Augmented HEGY Tests for Seasonal Unit Roots,"
The School of Economics Discussion Paper Series
1121, Economics, The University of Manchester.
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