Numerical Distribution Functions for Seasonal Unit Root Tests
AbstractWhen 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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Bibliographic InfoPaper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2011-09.
Date of creation: Dec 2011
Date of revision:
Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-ECM-2012-02-08 (Econometrics)
- NEP-ETS-2012-02-08 (Econometric Time Series)
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