hegy.reg: Generate the HEGY regressors.

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

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

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).

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.reg(y)

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