uroot (version 1.3)

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

Description

This function computes the Hylleberg-Engle-Granger-Yoo statistic for testing the null hypothesis that exits a unit root at long run or seasonal frequencies.

Usage

HEGY.test (label, compdet, selecP, Mvfic, VFEp, showcat)

Arguments

label

a list object with information about the series. The list consist of the following elements. vari, a ts object with the data of the series, s, the periodicity of the series (4, 12, or 1 for quarterly, monthly, or anual data),

compdet

a vector indicating the deterministic components included in the auxiliar regression.

selecP

method for selecting lags included in the auxiliar regression.

Mvfic

a matrix containing any particular dummy.

VFEp

a matrix containing partial seasonal dummies.

showcat

how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results.

Value

• HEGY t-statistics and F-statistics for unit root hypothesis, coefficient and t-statistics of the deterministic components, number of available observations.

Details

compdet is a numeric vector of length three. If an element is equal to 1 it indicates that a constant, linear trend or seasonal dummies respectively are included. Otherwise, the element must be set to zero.

Mvfic and VFEp are two kinds of dummies. The first one is a generic dummy and any 0-1 column-matrix can be designed for it. The second one includes seasonal dummies for only some, not necessarily all of the seasons.

Available lag selection methods are the following: aiclb is based on the AIC criterion and Ljung-Box test, biclb is based on the BIC criterion and Ljung-Box test, aiclut follows a top-down strategy based on the AIC criterion, biclut follows a top-down strategy based on the BIC criterion, signf retains the significant lags. It is also possible to set the argument selecP equals to a vector, for instance, SelecP=c(1,3,4) for those lags to be included in the auxiliar regression. If this option is used from the GUI menu, only four lag orders can be introduced, one in each cell.

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.

Examples

## HEGY test with constant and seasonal dummies and without other dummies.
     data(AirPassengers)
     AirP <- list(vari=AirPassengers, s=12, t0=c(1949, 1), N=length(AirPassengers))
     HEGY.test(label=AirP, compdet=c(1,0,1), selecP="biclb", Mvfic=0, VFEp=0, showcat=TRUE)