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 efficiently 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 InfoPaper provided by EconWPA in its series Econometrics with number 0410009.
Length: 3 pages
Date of creation: 19 Oct 2004
Date of revision:
Note: Type of Document - pdf; pages: 3
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Web page: http://18.104.22.168
Codec; RATS; Unit roots; Canova-Hansen; HEGY;
Other versions of this item:
- Ignacio Díaz-Emparanza, 2004. "SURGAT Seasonal Unit Roots Graphical Analysis and Testing device," Computer Programs 0401001, EconWPA, revised 19 Oct 2004.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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