This function computes the Hylleberg-Engle-Granger-Yoo statistics for testing the null hypothesis that long run and/or seasonal unit roots exists.
a univariate time series object.
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:
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.
lag selection method. A list object indicating the method to select lags,
Available methods are the following.
"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,
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
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.
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## 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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