pdR (version 1.9.3)

hegy.reg: Generate the HEGY regressors.

Description

This function generates the level regresors in HEGY regression, without differenced lag terms.

Usage

hegy.reg(wts)

Arguments

wts

Univariate time series, with a possibly seasonal stochastic trend

Author

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

Details

This function automatically identifies the frequency of time series data, and generate necessary level components as described in Eq.(3.7) of Hylleberg et. al (1990).

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.reg(y)