On Augmented Hegy Tests For Seasonal Unit Roots
In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey ( 1984 , Biometrika 71, 599–607) and Chang and Park ( 2002 , Econometric Reviews 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo ( 1990 , Journal of Econometrics 44, 215–238), inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park ( 2002 ), thereby allowing for general linear processes driven by (possibly conditionally heteroskedastic) martingale difference innovations. We show that the limiting null distributions of the t -statistics for unit roots at the zero and Nyquist frequencies and joint F -type statistics are pivotal, whereas those of the t -statistics at the harmonic seasonal frequencies depend on nuisance parameters that derive from the lag parameters characterizing the linear process. Moreover, the rates on the lag truncation required for these results to hold are shown to coincide with the corresponding rates given in Chang and Park ( 2002 ); in particular, an o ( T 1/2 ) rate is shown to be sufficient.
Volume (Year): 28 (2012)
Issue (Month): 05 (October)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Smith, Richard J. & Taylor, A. M. Robert, 1998.
"Additional critical values and asymptotic representations for seasonal unit root tests,"
Journal of Econometrics,
Elsevier, vol. 85(2), pages 269-288, August.
- Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics 9529, Faculty of Economics, University of Cambridge.
- Richard Smith & Robert Taylor, . "Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests," Discussion Papers 95/43, Department of Economics, University of York.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Burridge, Peter & Taylor, A M Robert, 2001. "On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 374-79, July.
- P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011.
"On Augmented HEGY Tests for Seasonal Unit Roots,"
The School of Economics Discussion Paper Series
1121, Economics, The University of Manchester.
- Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007.
"Efficient tests of the seasonal unit root hypothesis,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 548-573, December.
- Paulo M.M. Rodrigues & A.M. Robert Taylor, . "Efficient Tests of the Seasonal Unit Root Hypothesis," Discussion Papers 06/12, University of Nottingham, School of Economics.
- Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute.
- Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
- Richard J. Smith & A. M. Robert Taylor & Tomas del Barrio Castro, 2007.
"Regression-based seasonal unit root tests,"
07/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2004. "Asymptotic Distributions For Regression-Based Seasonal Unit Root Test Statistics In A Near-Integrated Model," Econometric Theory, Cambridge University Press, vol. 20(04), pages 645-670, August.
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, May.
- Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
- Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
- Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:28:y:2012:i:05:p:1121-1143_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.