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HEGY4: Stata module to compute Hylleberg et al seasonal unit root test


  • Christopher F Baum

    () (Boston College)

  • Richard Sperling

    () (The Ohio State University)


hegy4 performs the Hylleberg et al. (HEGY) test for seasonal unit roots in a quarterly timeseries. It estimates the four roots of the timeseries representation (1-B^4) x(t) = e(t), where B is the backshift operator, and presents estimates of these roots as Pi(1)..Pi(4). Joint tests for Pi(3)=Pi(4)=0, Pi(2)=Pi(3)=Pi(4)=0 and Pi(1)=Pi(2)=Pi(3)=Pi(4)=0 are calculated (the latter two proposed by Ghysels et al.) The routine will also estimate the model with seasonal trends proposed by Smith and Taylor. This is version 1.0.5 of the routine, which corrects an error in the tabulation of critical values.

Suggested Citation

  • Christopher F Baum & Richard Sperling, 2001. "HEGY4: Stata module to compute Hylleberg et al seasonal unit root test," Statistical Software Components S416502, Boston College Department of Economics, revised 27 Aug 2001.
  • Handle: RePEc:boc:bocode:s416502 Note: This module may be installed from within Stata by typing "ssc install hegy4". Windows users should not attempt to download these files with a web browser.

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    timeseries; unit root; seasonality;


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