Economics at your fingertips  

The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

Tomás del Barrio Castro (), Denise Osborn () and Robert Taylor

Econometric Reviews, 2016, vol. 35, issue 1, 122-168

Abstract: This paper analyzes two key issues for the empirical implementation of parametric seasonal unit root tests, namely generalized least squares (GLS) versus ordinary least squares (OLS) detrending and the selection of the lag augmentation polynomial. Through an extensive Monte Carlo analysis, the performance of a battery of lag selection techniques is analyzed, including a new extension of modified information criteria for the seasonal unit root context. All procedures are applied for both OLS and GLS detrending for a range of data generating processes, also including an examination of hybrid OLS-GLS detrending in conjunction with (seasonal) modified AIC lag selection. An application to quarterly U.S. industrial production indices illustrates the practical implications of choices made.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests (2012) Downloads
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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

Page updated 2019-07-29
Handle: RePEc:taf:emetrv:v:35:y:2016:i:1:p:122-168