HEGY test

[Ingolstadt]

i found this http://forums.eviews.com/viewtopic.php?f=15&t=301

yet my maths is not sufficient to modify the code for quarterly data, i am asking if some1 could post the solution for it. it must be quite easy, but i couldnt do it after reading the hylleberg article :S

[Ingolstadt]

some mins later i found a better article :)
thats my code

Code: Select all

call y subroutine y 'generate auxiliary polynomials series Z1 = y + y(-1) + y(-2) + y(-3) series Z2 = - y + y(-1) - y(-2) + y(-3) series Z3 = - y + y(-2) series Z8 = y - y(-4) 'create seasonal dummies for !i=1 to 3 series s!i = @seas(!i) - @seas(4) next 'estimate the equation equation eq1.ls(showopts,c=1e-5,m=1000) Z8 c s1 s2 s3 Z1(-1) Z2(-1) Z3(-1) Z3(-2) Z8(-1 to -4) show eq1.output 'generate the test statistics that are not given in the equation output (Warning: critical values are different from those of EViews'. You should find true values for accurate hypothesis testing!) freeze eq1.wald c(15)=0, c(16)=0 freeze eq1.wald c(17)=0, c(18)=0 freeze eq1.wald c(19)=0, c(20)=0 freeze eq1.wald c(21)=0, c(22)=0 freeze eq1.wald c(23)=0, c(24)=0 freeze eq1.wald c(14)=0, c(15)=0, c(16)=0, c(17)=0, c(18)=0, c(19)=0, c(20)=0, c(21)=0, c(22)=0, c(23)=0, c(24)=0 freeze eq1.wald c(13)=0, c(14)=0, c(15)=0, c(16)=0, c(17)=0, c(18)=0, c(19)=0, c(20)=0, c(21)=0, c(22)=0, c(23)=0, c(24)=0 'delete auxiliary series and seasonal dummies delete z* s* endsub

is this correct? but i still need some help with the test statistic, because i have no clue what that code means :?