Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending

Tomás del Barrio Castro, Andrii Bodnar () and Andreu Sansó
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Andrii Bodnar: University of the Balearic Islands

Computational Statistics, 2017, vol. 32, issue 4, No 15, 1533-1568

Abstract: Abstract This paper implements the approach introduced by MacKinnon (J Bus Econ Stat 12:167–176, 1994, J Appl Econom 11:601–618, 1996) to estimate the response surface of the test statistics of seasonal unit root tests with OLS and GLS detrending for quarterly and monthly time series. The Gauss code that is available in the supplementary material of the paper produces p values for five test statistics depending on the sample size, deterministic terms and frequency of the data. A comparison with previous studies is undertaken, and an empirical example using airport passenger arrivals to a tourist destination is carried out. Quantile function coefficients are reported for simple computation of critical values for tests at 1, 5 and 10 % significance levels.

Keywords: HEGY test; GLS detrending; Response surfaces; p values (search for similar items in EconPapers)
Date: 2017
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Working Paper: Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending (2015)
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DOI: 10.1007/s00180-016-0688-9

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