English, Article edition: HEGY4: Stata module to compute Hylleberg et al seasonal unit root test Christopher F Baum; Richard Sperling

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Bookmark: http://trove.nla.gov.au/version/103645
Physical Description
  • code
Language
  • English

Edition details

Title
  • HEGY4: Stata module to compute Hylleberg et al seasonal unit root test
Author
  • Christopher F Baum
  • Richard Sperling
Physical Description
  • code
Notes
  • 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.
  • timeseries, unit root, seasonality
  • RePEc:boc:bocode:s416502
Language
  • English
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