This function generates the level regresors in HEGY regression, without differenced lag terms.
Univariate time series, with a possibly seasonal stochastic trend
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).
Ho Tsungwu <[email protected]>, modifed from Javier Lopez-de-Lacalle
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
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