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

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

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))

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.

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().

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).

Author(s)

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

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

pdR documentation built on Aug. 21, 2023, 5:06 p.m.