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

Christopher Baum and Richard Sperling ()
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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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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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)

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

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