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Bootstrapping the HEGY seasonal unit root tests

  • Burridge, Peter
  • Robert Taylor, A. M.

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when applied to series having higher-order serial correlation and/or periodic heteroscedasticity, both of which are known to severely distort the significance level of the conventional tests. Our results demonstrate that the bootstrap provides good approximations to the statistics' null distributions. Moreover, the bootstrap corrects the adverse effects of data-dependent lag selection seen in the conventional augmented HEGY tests. The bootstrapped tests have comparable power to (infeasible) exactly significance-level-corrected lag-augmented HEGY tests, and their use is recommended

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 123 (2004)
Issue (Month): 1 (November)
Pages: 67-87

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Handle: RePEc:eee:econom:v:123:y:2004:i:1:p:67-87
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
  2. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September.
  3. Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
  4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  5. Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," CIRANO Working Papers 95s-21, CIRANO.
  6. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  7. Donald W. K. Andrews & Moshe Buchinsky, 2000. "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica, Econometric Society, vol. 68(1), pages 23-52, January.
  8. 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.
  9. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  10. 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.
  11. 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.
  12. Smith, R.J. & Taylor, A.M.R., 1999. "Regression-Based Seasonal Unit Root Tests," Discussion Papers 99-15, Department of Economics, University of Birmingham.
  13. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
  14. Park, Joon Y., 2002. "An Invariance Principle For Sieve Bootstrap In Time Series," Econometric Theory, Cambridge University Press, vol. 18(02), pages 469-490, April.
  15. Peter C.B. Phillips, 2001. "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers 1330, Cowles Foundation for Research in Economics, Yale University.
  16. Andrews, Donald W. K. & Buchinsky, Moshe, 2001. "Evaluation of a three-step method for choosing the number of bootstrap repetitions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 345-386, July.
  17. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
  18. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
  19. Psaradakis, Zacharias, 2000. "Bootstrap tests for unit roots in seasonal autoregressive models," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 389-395, December.
  20. Nankervis, John C & Savin, N E, 1996. "The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 161-68, April.
  21. Rayner, Robert K, 1990. "Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 251-63, April.
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