uroot (version 1.4-1)

HEGY.test: Hylleberg-Engle-Granger-Yoo Test

Description

This function computes the Hylleberg-Engle-Granger-Yoo statistics for testing the null hypothesis that long run and/or seasonal unit roots exists.

Usage

HEGY.test (wts, itsd, regvar=0, selectlags=list(mode="signf", Pmax=NULL))

Arguments

wts

a univariate time series object.

itsd

deterministic components to include in the model. Three types of regressors can be included: regular deterministic components, seasonal deterministic components, and any regressor variable previously defined by the user.

This argument m

regvar

regressor variables. If none regressor variables are considered, this object must be set equal to zero, otherwise, the names of a matrix object previously defined should be indicated.

selectlags

lag selection method. A list object indicating the method to select lags, mode, and the maximum lag considered. Available methods are "aic", "bic", and "signf". See details. Pmax

Value

• An object of class hegystat-class.

Details

Available methods are the following. "aic" and "bic" follows a top-down strategy based on the Akaike's and Schwarz's information criteria, and "signf" removes the non-significant lags at the 10% level of significance until all the selected lags are significant. By default, the maximum number of lags considered is $round(10*log10(n))$, where $n$ is the number of observations.

It is also possible to set the argument selectlags equals to a vector, mode=c(1,3,4), then those lags are directly included in the auxiliar regression and Pmax is ignored.

The statistics $t_1$, and $t_2$, test for a unit root at cycles of frequencies zero, and $\pi$, respectively; $t_3$, and $t_4$ are related to cycles of frequency $\pi/2$; $t_5$ and $t_6$ to cycles of frequency $2\pi/3$, $t_7$ and $t_8$ to cycles of frequency $\pi/3$; $t_9$ and $t_10$ to cycles of frequency $5\pi/6$; $t_11$ and $t_12$ to cycles of frequency $\pi/6$, and the corresponding alias frequencies in each case. Similar notation is used with the $F-$statistics, in this way, $F_3:4$ tests for a unit root at cycles of frequenciency $\pi/2$, and so on.

References

S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.

J. Beaulieu and J. Miron (1993), Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 54, 305-328.

P.H. Franses (1990), Testing for seasonal unit roots in monthly data, Technical Report 9032, Econometric Institute.

See Also

HEGY.rectest.

Examples

## HEGY test with constant, trend and seasonal dummies.
    data(AirPassengers)
    lairp <- log(AirPassengers)
    hegy.out1 <- HEGY.test(wts=lairp, itsd=c(1,1,c(1:11)),
                   regvar=0, selectlags=list(mode="bic", Pmax=12))
    hegy.out1
    hegy.out2 <- HEGY.test(wts=lairp, itsd=c(1,1,c(1:11)),
                   regvar=0, selectlags=list(mode="signf", Pmax=NULL))
    hegy.out2