SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device

Ignacio Díaz-Emparanza ()

Econometrics from EconWPA

Abstract: SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal difference, the series without its deterministic trend, without its deterministic seasonal, estimated efficiently in both cases by means of a deterministic+autoregressive model. The procedure offers several graphs of the series and its transformations: 1- the series, ACF , PACF and spectrum 2- seasonal filters 3- seasonal paths (Buys-Ballot plots) 4- regular paths The program also contains a menu for testing unit roots over the series and its transformations, applying the tests: 1- ADF, 2- HEGY, 3- KPSS, 4- Canova-Hansen.

Keywords: Codec; RATS; Unit roots; Canova-Hansen; HEGY (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2004-10-19
Note: Type of Document - pdf; pages: 3

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http://129.3.20.41/eps/em/papers/0410/0410009.pdf (application/pdf)

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Software Item: SURGAT Seasonal Unit Roots Graphical Analysis and Testing device (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0410009

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