Description Usage Arguments Details Value Author(s) References See Also Examples

This function computes the Hylleberg-Engle-Granger-Yoo statistics for testing the null hypothesis that long run and/or seasonal unit roots exists.

1 2 |

`wts` |
a univariate time series object. |

`itsd` |
deterministic components to include in the model. Three types of regressors can be included: regular deterministic components, seasonal deterministic components, and any regressor variable previously defined by the user. This argument must be a vector object with the following elements: |

`regvar` |
regressor variables. If none regressor variables are considered, this object must be set equal to zero, otherwise, the names of a matrix object previously defined should be indicated. |

`selectlags` |
lag selection method. A list object indicating the method to select lags, |

Available methods are the following. `"aic"`

and `"bic"`

follows a top-down strategy based on
the Akaike's and Schwarz's information criteria, and `"signf"`

removes the non-significant lags at
the 10% level of significance until all the selected lags are significant. By default, the maximum
number of lags considered is *round(10*log10(n))*, where *n* is the number of observations.

It is also possible to set the argument `selectlags`

equals to a vector, `mode=c(1,3,4)`

, then
those lags are directly included in the auxiliar regression and `Pmax`

is ignored.

The statistics *t_1*, and *t_2*, test for a unit root at cycles of frequencies zero, and
*π*, respectively; *t_3*, and *t_4* are related to cycles of frequency *π/2*;
*t_5* and *t_6* to cycles of frequency *2π/3*, *t_7* and *t_8* to cycles of
frequency *π/3*; *t_9* and *t_10* to cycles of frequency *5π/6*; *t_11* and
*t_12* to cycles of frequency *π/6*, and the corresponding alias frequencies in each case.
Similar notation is used with the *F-*statistics, in this way, *F_3:4* tests for a unit root at
cycles of frequenciency *π/2*, and so on.

An object of class `hegystat-class`

.

Javier Lopez-de-Lacalle [email protected] and Ignacio Diaz-Emparanza [email protected]

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.

1 2 3 4 5 6 7 8 9 10 | ```
## HEGY test with constant, trend and seasonal dummies.
data(AirPassengers)
lairp <- log(AirPassengers)
hegy.out1 <- HEGY.test(wts=lairp, itsd=c(1,1,c(1:11)),
regvar=0, selectlags=list(mode="bic", Pmax=12))
hegy.out1
hegy.out2 <- HEGY.test(wts=lairp, itsd=c(1,1,c(1:11)),
regvar=0, selectlags=list(mode="signf", Pmax=NULL))
hegy.out2
``` |

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