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Numerical Distribution Functions for Seasonal Unit Root Tests

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  • Díaz-Emparanza Herrero, Ignacio

Abstract

When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surface regressions approach to calculate the critical values and P values of the HEGY statistics whatever the periodicity and sample size of the data. The algorithms are prepared with the Gretl open source econometrics package and some new tables of critical values for daily, hourly and half-hourly data are presented.

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File URL: https://addi.ehu.es/bitstream/10810/5568/1/hegyg-pt.pdf
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Bibliographic Info

Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2011-09.

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Date of creation: Dec 2011
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Handle: RePEc:ehu:biltok:5568

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Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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Related research

Keywords: seasonality; unit roots; surface response analysis;

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  2. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
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Cited by:
  1. Díaz-Emparanza Herrero, Ignacio & Moral Zuazo, María Paz, . "Seasonal Stability Tests in gretl. An Application to International Tourism Data," BILTOKI BILTOKI;2013-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

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