HEGY.test: Hylleberg-Engle-Granger-Yoo Test

In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description

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

Usage

    HEGY.test (wts, itsd, regvar=0, selectlags=list(mode="signf", Pmax=NULL))
  

Arguments

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: c(0,0,c(0)), if the first and/or second elements are set equal to 1, it indicates that an intercept, and/or linear trend, respectively, are included. The third element is a vector indicating which seasonal dummies should be included. If no seasonal dummies are desired it must be set equal to zero. For example, regular=c(1,0,c(1,2,3)) would include an intercept, no trend, and the first three seasonal dummies.
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, mode, and the maximum lag considered. Available methods are "aic", "bic", and "signf". See details. Pmax is a numeric object indicating the maximum lag order. By default, the maximum number of lags considered is round(10*log10(n)), where n is the number of observations.

Details

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.

Value

An object of class hegystat-class.

Author(s)

Javier Lopez-de-Lacalle [e-mail] and Ignacio Diaz-Emparanza [e-mail]

References

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.

See Also

HEGY.rectest.

Examples

    ## 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
  

uroot documentation built on May 2, 2019, 6:49 p.m.