HEGY4: Stata module to compute Hylleberg et al seasonal unit root test

Christopher Baum () and Richard Sperling ()
Additional contact information
Richard Sperling: The Ohio State University

Statistical Software Components from Boston College Department of Economics

Abstract: hegy4 performs the Hylleberg et al. (HEGY) test for seasonal unit roots in a quarterly timeseries. It estimates the four roots of the timeseries representation (1-B^4) x(t) = e(t), where B is the backshift operator, and presents estimates of these roots as Pi(1)..Pi(4). Joint tests for Pi(3)=Pi(4)=0, Pi(2)=Pi(3)=Pi(4)=0 and Pi(1)=Pi(2)=Pi(3)=Pi(4)=0 are calculated (the latter two proposed by Ghysels et al.) The routine will also estimate the model with seasonal trends proposed by Smith and Taylor. This is version 1.0.5 of the routine, which corrects an error in the tabulation of critical values.

Language: Stata
Requires: Stata version 7.0
Keywords: timeseries; unit root; seasonality (search for similar items in EconPapers)
Date: 2001-02-20, Revised 2001-08-27
Note: This module may be installed from within Stata by typing "ssc install hegy4". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hegy4.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hegy4.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s416502

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().