SURGAT Seasonal Unit Roots Graphical Analysis and Testing device

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SURGAT Seasonal Unit Roots Graphical Analysis and Testing device

Author Info

Ignacio Díaz-Emparanza (Universidad del País Vasco)

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Ignacio Díaz-Emparanza

Abstract

SURGAT 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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Publisher Info
Software component provided by EconWPA in its series Computer Programs with number 0401001.

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Date of creation: 08 Jan 2004
Date of revision: 19 Oct 2004
Handle: RePEc:wpa:wuwppr:0401001

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Web page: http://129.3.20.41

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Paper
- Ignacio Díaz-Emparanza, 2004. "SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device," Econometrics 0410009, EconWPA. [Downloadable!]

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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