HEGY*
Posted: Mon Oct 26, 2015 6:21 pm
This thread is about the HEGY add-in which performs seasonal unit root tests. The add-in works with biannual, quarterly or monthly data. The add-in contains the option to obtain the critical value by Monte Carlo, time of the simulations depend mostly on the number of observations but in general they are not time consuming. Additionally, the add-in has the option to obtain the tabulated critical values by:
Philip Hans Franses and Bart Hobijn. Critical values for unit root tests in seasonal time series. Journal of Applied Statistics, 24(1):25_48, 1997.
Svend Hylleberg, Robert F Engle, Clive WJ Granger, and Byung Sam Yoo. Seasonal integration and cointegration. Journal of econometrics, 44(1):215_238, 1990.
Attached you can find the add-in documentation and the data examples. Comments and suggestions of the add-in are welcomed.
Regards, Nicolas Ronderos Pulido
Philip Hans Franses and Bart Hobijn. Critical values for unit root tests in seasonal time series. Journal of Applied Statistics, 24(1):25_48, 1997.
Svend Hylleberg, Robert F Engle, Clive WJ Granger, and Byung Sam Yoo. Seasonal integration and cointegration. Journal of econometrics, 44(1):215_238, 1990.
Attached you can find the add-in documentation and the data examples. Comments and suggestions of the add-in are welcomed.
Regards, Nicolas Ronderos Pulido