pdR (version 1.9.3)

HEGY.test: Seasonal unit root test based on Hylleberg et al. (1990)

Description

The function performs seasonal unit root test based on Eq.(3.6) of Hylleberg et al. (1990), univariate time series.

Usage

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

Value

stats

Tests statistics for HEGY regression coefficients.

hegycoefs

HEGY regression coefficients.

lagsorder

Lags order. "aic" or "bic" returns a scalar; "signf" returns a sequence of numbers

lagcoefs

Coefficients of lag terms.

regvarcoefs

Coefficient(s) of additional regressor(s).

Arguments

wts

Univariate time series

itsd

Options for c(i,t,sd)
i=1, intercept;=0 no intercept
t=1, trend;=0 no deterministic trend
sd=1, season dummy 1:(s-1);=0 no.

regvar

Additional regressors

selectlags

Selection of lags
mode, Criteria for selection, having three options: "signf","bic","aic".
Pmax, maximum number of lags.

Author

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

Details

Mode for selectlags has three options, AIC and BIC use R built-in functions for linear model and their meanings are popular and straightforward. They include only lags that meet specific criterion, others are dropped from regressors. That is, lag orders of your model may not be a regular sequence. See also selPsignf() and selPabic().

References

Hylleberg, S., Engle, R.F., Granger, C.W.J., and Yoo, B.S.(1990) Seasonal integration and cointegration. Journal of Econometrics,44, 215-238.
Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Examples

data(inf_Q)
y<-inf_Q[,1]
hegy.out<-HEGY.test(wts=y, itsd=c(1,0,c(1:3)),regvar=0, selectlags=list(mode="aic", Pmax=12))

hegy.out$stats #HEGY test statistics
names(hegy.out) # HEGY objects, which can be called by using $, see below.
hegy.out$hegycoefs
hegy.out$regvarcoefs