HEGY Tests in the Presence of Moving Averages

Tomás del Barrio Castro and Denise Osborn

No 42, DEA Working Papers from Universitat de les Illes Balears, Departament d'Economía Aplicada

Abstract: We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the presumed null distributions when a fixed order of autoregressive augmentation is applied, these effects disappear when the order of augmentation is sufficiently large. However, as found by Burridge and Taylor (2001) for the autoregressive case, individual t-ratio tests at the the semi-annual frequency are not pivotal even with high orders of augmentation, although the corresponding joint F-type statistic is pivotal. Monte Carlo simulations verify the importance of the order of augmentation for finite samples generated by seasonally integrated moving average processes.

Keywords: Seasonal integration; HEGY tests; unit root tests; moving averages (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: HEGY Tests in the Presence of Moving Averages (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ubi:deawps:42

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