SURGAT Seasonal Unit Roots Graphical Analysis and Testing device
AbstractSURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal difference, the series without its deterministic trend, without its deterministic seasonal, estimated eficiently in both cases by means of a deterministic+autoregressive model. The procedure offers several graphs of the series and its transformations: 1- the series, ACF , PACF and spectrum 2- seasonal filters 3- seasonal paths (Buys-Ballot plots) 4- regular paths The program also contains a menu for testing unit roots over the series and its transformations, applying the tests: 1- ADF, 2- HEGY, 3- KPSS, 4- Canova-Hansen.
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Bibliographic InfoSoftware component provided by EconWPA in its series Computer Programs with number 0401001.
Date of creation: 08 Jan 2004
Date of revision: 19 Oct 2004
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Seasonality; HEGY; Canova-Hansen;
Other versions of this item:
- Ignacio Díaz-Emparanza, 2004. "SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device," Econometrics 0410009, EconWPA.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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