The HEGY12 and HEGY4 modules computes Beaulieu & Miron (J. Econometrics, 1993) seasonal unit root tests for monthly and quarterly time series, with and without intercept, seasonal dummies, and/or trend. The procedures report a Lagrange Multiplier of order 1-12 and a Ljung-Box test for autocorrelation in the error term.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
R952301.
Size: Programming language: RATS Requires: Date of creation: 20 May 1999 Date of revision: Handle: RePEc:boc:bocode:r952301
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC