HEGY Tests in the Presence of Moving Averages
We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the presumed null distributions when a fixed order of autoregressive augmentation is applied, these effects disappear when the order of augmentation is sufficiently large. However, as found by Burridge and Taylor (2001) for the autoregressive case, individual t-ratio tests at the the semi-annual frequency are not pivotal even with high orders of augmentation, although the corresponding joint F-type statistic is pivotal. Monte Carlo simulations verify the importance of the order of augmentation for finite samples generated by seasonally integrated moving average processes.
|Date of creation:||2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.uib.es/depart/deaweb/
More information through EDIRC
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.:
- Tomas del Barrio Castro, 2007.
"Using the HEGY Procedure When Not All Roots Are Present,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 28(6), pages 910-922, November.
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics 170, Universitat de Barcelona. Espai de Recerca en Economia.
- Castro, Tomas del Barrio & Osborn, Denise R., 2008. "Testing For Seasonal Unit Roots In Periodic Integrated Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1093-1129, August.
- del Barrio Castro, Tomas, 2006. "On the performance of the DHF tests against nonstationary alternatives," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 291-297, February.
When requesting a correction, please mention this item's handle: RePEc:ubi:deawps:42. 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: (Xisco Oliver)
If references are entirely missing, you can add them using this form.