Testing for Seasonal Unit Roots when Residuals Contain Serial Correlations under HEGY Test Framework
2013 (English)Report (Other academic)
This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.
Place, publisher, year, edition, pages
Högskolan Dalarna , 2013.
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 3
HEGY test; Serial correlations, Corrected t statistics
Research subject Komplexa system - mikrodataanalys, Statistisk modellering är grunden till en ökad förståelse inom genetik!
IdentifiersURN: urn:nbn:se:du-11756OAI: oai:DiVA.org:du-11756DiVA: diva2:600682