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Canova Hansen*

Posted: Thu Jul 26, 2018 9:19 am
by NicolasR
This thread is about the Canova Hansen add-in which performs seasonal unit root test. The add-in can handle monthly and quarterly data. The test can be considered as the KPSS version of a seasonal unit root test. With the null hypothesis of stationarity. Comments and suggestions of the add-in are welcomed.

Attached is the user guide of the add-in, the data of section 5.1 of the original paper and a program file to simulate monthly time series with seasonal unit roots.

Regards, Nicolas Ronderos Pulido