HEGY4: Stata module to compute Hylleberg et al seasonal unit root test
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.
|Requires:||Stata version 7.0|
|Date of creation:||20 Feb 2001|
|Date of revision:||27 Aug 2001|
|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.|
|Contact details of provider:|| Postal: |
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