The lag-length selection and detrending methods for HEGY seasonal unit-root tests using Stata
Tomás del Barrio Castro
Department of Applied Economics
University of the Balearic Islands
Palma, Spain
[email protected]
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Andrii Bodnar
[email protected]
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Andreu Sansó
Department of Applied Economics
University of the Balearic Islands
Palma, Spain
[email protected]
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Abstract. The article extends the previous Hylleberg, Engle, Granger, and Yoo seasonal
unit-root test commands (Baum and Sperling, 2001, https://ideas.repec.org/c/boc/bocode/s416502.html;
Depalo, 2009, Stata Journal 9: 422–438), which allow for the use
of both quarterly and monthly data. It is also possible to choose between
ordinary least-squares and generalized least-squares detrending (Rodrigues and
Taylor, 2007, Journal of Econometrics 141: 548–573) procedures to
deal with the deterministic part of the process. The command allows for the use
of the sequential method proposed by Hall (1994, Journal of Business and
Economic Statistics 12: 461–470) and Ng and Perron (1995, Journal
of the American Statistical Association 90: 268–281), the adaptation
of the modified Akaike information criteria to the case of seasonal unit-root
tests (del Barrio Castro, Osborn, and Taylor, 2016, Econometric Reviews
35: 122–168) as well as the inclusion of Akaike information and Bayesian
information criteria to determine the order of augmentation of the serial
correlation in the augmented Hylleberg, Engle, Granger, and Yoo regression.
Finally, the use of the command is illustrated with an empirical application to
the case of monthly passenger airport arrivals to Palma de Mallorca.
View all articles by these authors:
Tomás del Barrio Castro, Andrii Bodnar, Andreu Sansó
View all articles with these keywords:
hegy, HEGY test, GLS detrending, optimal augmentation lag
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