HEGY: RATS module to generate Beaulieu & Miron seasonal unit root tests

Jean-Philip Bellotteau ()
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Jean-Philip Bellotteau: RATP

Statistical Software Components from Boston College Department of Economics

Abstract: The HEGY12 and HEGY4 modules computes Beaulieu & Miron (J. Econometrics, 1993) seasonal unit root tests for monthly and quarterly time series, with and without intercept, seasonal dummies, and/or trend. The procedures report a Lagrange Multiplier of order 1-12 and a Ljung-Box test for autocorrelation in the error term.

Language: RATS
Keywords: unit roots; seasonality (search for similar items in EconPapers)
Date: 1999-05-20

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