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SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device

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Author Info

  • Ignacio Díaz-Emparanza

    (Universidad del País Vasco)

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 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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File URL: http://128.118.178.162/eps/em/papers/0410/0410009.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0410009.

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Length: 3 pages
Date of creation: 19 Oct 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0410009

Note: Type of Document - pdf; pages: 3
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Web page: http://128.118.178.162

Related research

Keywords: Codec; RATS; Unit roots; Canova-Hansen; HEGY;

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