On augmented hegy tests for seasonal unit roots as om tdel barrio castro department of applied economics university of the balearic islands denise r. This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, hylleberg, engle, granger and yoo j. Big picture a time series is nonstationary if it contains a unit root unit root. Section 3 presents our investigation of the nite sample performance of hegy type tests based on a arietvy of databased lag selection methods for series driven by both ma and ar shocks. Hegytype seasonal unit root tests and their limiting null distributions, then discusses lag selection and detrending methods. Threshold model and unit root tests in crosssection and time series data. Seasonal unit roots seasonal unit roots and testing for seasonal integration is discussed in charemza and deadman 1997, 1059 and pfaff 2008. Seasonal unit root tests seasonal unit root tests a key contribution to the literature on seasonal unit root tests is the paper by hylleberg, engle, granger, and yoo j. We introduce the seasonal unit roots at first, and then derive the mechanism of the hegytype test for data with any frequency. Many results of traditional statistical theory do not apply to unit root process, such as law of large number and central limit theory.
Hegy test for seasonal unit roots in a quarterly timeseries. In this section we use the command sroot to test for the presence of the unit root at seasonal frequency for the series of cosumption in uk. Finally, there are two times series with only deterministic components and no unit roots. This paper generalizes the hegytype test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by hylleberg, engle, granger and yoo 1990. This technique allows the practitioners to test for the seasonal unit roots without estimating. Hegy seasonal unit root test post by eviews glenn thu aug 01, 20 6. The performance of lag selection and detrending methods. Seasonal unit root tests in a time series with apriori.
Given periodic variation, it will be shown in theorem4. New evidence on the persistence of profit in turkey with. In jmulti there are several tests implemented testing the null hypothesis that there is a unit root against the. Can anyone advise how to check the sesonal unit root at the monthly time series using the eviews hegy seasonal unit root tests. In this paper we extend the large sample results provided for the augmented dickeyfuller test by said and dickey 1984 and chang and park 2002 to the case of the augmented seasonal unit root tests of hylleberg et al. Sharma1 southern illinois university carbondale, illinois, u. Furthermore, we develop a new bootstrap technique for the fractional seasonal variance ratio tests by utilizing wavelet lters. In section 3 test equations and the procedure for testing seasonal unit roots are presented. Bootstrapping the hegy seasonal unit root tests sciencedirect. Section 3 presents our investigation of the nite sample performance of hegytype tests based on a arietvy of databased lag selection methods for series driven by both ma and ar shocks.
Evidence from some unit root tests for the advanced economies emrah hanifi firat a abstract in this study, some tests augmented dickey fuller adf, phillips perron pp, kwiatkowski, phillips schmidt, shin kpss and elliot, rothenberg and stock ers that allow unit root test was performed firstly. Seasonal unit root processes econometricsofseasonality universityof viennaand instituteforadvanced studiesvienna. Their technique clearly distinguishes between long run roots or standard unit roots and seasonal roots. The most effectual choice is therefore the application of panel unit root tests. Robert atylor school of economics university of nottingham june 2011 abstract the contribution of this paper is twofold. Differencing and unit root tests e d in the boxjenkins approach to analyzing time series, a key question is whether to difference th ata, i. The stationarityor otherwise of a series can strongly influence its behaviour and properties e. The regression model for the dhf test is a reduced form of that for the kunst test. In particular, the hegy4 command, developed by baum and sperling 2001. Stata module to compute hylleberg et al seasonal unit root test hegy4 performs the hylleberg et al.
Contents 1 introduction 2 2 empirical observations 3 3 test procedures 4 4 empirical application 9 5 conclusions 16. Impact of model specification decisions on unit root tests. Stationarity and unit root testing why do we need to test for nonstationarity. This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, hylleberg, engle, granger and yoo 1990,journal of econometrics 55, 305328hegy. There exists a routine in stata hegy4 that performs the hegy test, however.
Stata london users meeting, september 2018 christopher f. Bootstrap seasonal unit root test under periodic variation. Among these seasonal unit root tests, the hegy test which is posed by hylleberg, engle, granger and oyo 1990 has the advantage of testing seasonal unit root at each frequency separately, thus it is widely applied. Testing seasonal unit roots in data at any frequency an. Table 1 and figure 2 show that this strategy works quite well when d is at least 4. Afurtherinvestigation jushan bai and serena ng columbia university an effective way to control for crosssection correlation when conducting a panel unit root test is to remove the common factors from the data. Bootstrapping the hegy seasonal unit root tests request pdf. Prior to the application of unit root test, the investigator has to make number of specification decisions. Using a ttest, the null hypothesis of a unit root at the zero frequency 1 0 is tested against the onesided alternative hypothesis 1 demand. This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, hylleberg, engle, granger and yoo 1990,journal of econometrics 55, 305328 hegy.
We introduce the seasonal unit roots at first, and then derive the mechanism of the hegy type test for data with any frequency. Pdf an application of a new seasonal unit root test for trending. In probability theory and statistics, a unit root is a feature of some stochastic processes such as random walks that can cause problems in statistical inference involving time series models. Hylleberg et al 1990 hegy developed a technique for testing unit roots at different frequencies. Seasonal unit root tests for the monthly container. Testing seasonal unit roots in data at any frequency, an hegy. The unaugmented hegy test 24, as the extension of phillipsperron test to the seasonal unit root, inherits the semiparametric nature and does not assume the noise to be ar. Threshold model and unit root tests description functions for analysis of panel data, including the panel threshold model of hansen 1999,je, panel unit root test of chang2002,je based upon instuments generating functions igf, and panel seasonal unit root test based upon hylleberg et al.
However, there remain many ways to use the defactored residuals to construct a test. Seasonal unit root tests for the monthly container transshipment of the port of hamburg peter m. The function performs seasonal unit root test based on eq. In this chapter, the technical details of unit root and stationarity tests are kept to a minimum. Seasonal unit roots and structural breaks in agricultural. The hegy seasonal unit root testing routines were developed for stata to consider quarterly data and ols detrending. Our analysis is performed under the same conditions on the innovations as in chang and park 2002, thereby. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when applied to series having higherorder serial correlation andor periodic heteroscedasticity.
The hegy test and its extension to monthly data ara available in r in. Rs ec2 lecture 16 1 1 lecture 16 unit root tests a shock is usually used to describe an unexpected change in a. A popular test for verifying unit roots is the augmented dickey fuller adf test in which the null hypothesis is non stationarity. Dickeyfuller df unit root test df test is the most popular test for unit root. Implementing the leybournetaylor test for seasonal unit roots in. The first part of the unit root output provides information about the form of the test the type of test, the exogenous variables, and lag length used, and contains the test output, associated critical values, and in this case, the pvalue. Econometrics of seasonality based on the book by ghyselsosborn. The capability of the seasonal unit root tests to select the right break date is analysed, with some divergent results with respect to previous findings. To apply the unit root tests with semiannual data, equation 2. Hegy type seasonal unit root tests and their limiting null distributions, then discusses lag selection and detrending methods. Three major regressionbased seasonal unit root tests.
Using a ttest, the null hypothesis of a unit root at the zero frequency 1 0 is tested against the onesided alternative hypothesis 1 unit roots, so the usual differentiating procedure employed in conventional time series models or regression approaches could imply a misspecification. In contrast to usual practice, i argue that using original data should always be considered, although the process is. We will learn a formal test for the unit root for unit root process, we need to apply arima model. Prior to the application of unit root test, the investigator has to.
Seasonal unit root tests in a time series with apriori unknown deterministic components subhash c. Testing seasonal unit roots in data at any frequency, an. Testing seasonal unit roots in data at any frequency an hegy. A seasonal unit root test with more power is also considered and critical values are obtained to perform the inference. A linear stochastic process has a unit root, if 1 is a root of the processs characteristic equation. Section 5 gives an empirical example and section 6 concludes. The hegy test is rstly proposed for testing seasonal unit roots in quarterly data, ransesf 1990, beaulieu and. The performance of lag selection and detrending methods for. The hegy test is rstly proposed for testing seasonal unit. Bootstrapping the hegy seasonal unit root tests, journal. We present and use the extension of the seasonal unit roots test of hylleberg et al 1990 to the weekly. Request pdf bootstrapping the hegy seasonal unit root tests we provide a joint treatment of three major issues that surround testing for a unit root in practice. Robert taylor school of economics university of nottingham december 2010 abstract the contribution of this paper is twofold.
Evidence from deregulated markets antonio rubia abstract this paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. Many economic time series exhibit important systematic. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when applied to series having higherorder serial correlation andor periodic heteroscedasticity, both of which are. Section 4 defines seasonal cointegration and derives several representations. The asymptotic distributions of the test statistics are also given in this.
Such a process is nonstationary but does not always have a trend. The command allows for the use of the sequential method proposed by hall 1994, journal of business and economic statistics 12. When testing seasonal unit roots under seasonal heterogeneity, it is unclear if we can apply tests. Relevance the four specification decisions mentioned in previous section have significant impact on final output of unit root tests. The only methodological literature we nd on bootstrapping hegy test is burridge and taylor 2004. Stata module to compute hylleberg et al seasonal unit. The change over the following time unit also distributed as n0,1. Seasonal unit roots if a series has seasonal unit roots, then standard adf test statistic do not have the same distribution as for nonseasonal series. They suggest to estimate the deterministic term in a. Sas global forum 2009 statistics and data anal ysis.
This version also includes panel unit root tests based on the instrument gen erating functionsigf, proposed by chang 2002, j. It is also easy to implement from an ols regression. For testing unit roots at other frequencies, the following steps are used. Osborn economics, school of social sciences university of manchester a. This study deals with the unit root hypothesis related to the real gdp.
Testing for seasonal unit roots in monthly panels of time series core. A seasonal unitroot test with stata semantic scholar. The hegy procedure starts by specifying a general autoregressive model parameterised so as to introduce the seasonal and long run unit roots. As with other unit root tests, you must choose the deterministic components. The data are from the national institute of statistics for the year 19552006, on quarterly basis. As we discussed before, if one of the rjs equals 1. Therefore, it is important to test for the presence of seasonal unit roots before applying the appropriate cointegration technique. Furthermore, seasonally adjusting series which contain seasonal unit roots can alias the seasonal roots to the zero frequency, so there is a. However, these statistics are applied to time series data sets. The method print displays the test statistics and pvalues. To test for a unit root, consider seasonal unit root tests.
Hegy test procedure this test is based on the same idea as the dickeyfuller tests 1979 and 1981 for a unit root at the longrun frequency. Read bootstrapping the hegy seasonal unit root tests, journal of econometrics on deepdyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips. The main advantage of seasonal unit root tests is where you need to make use of data that cannot be seasonally adjusted or even as a pretest before seasonal adjustment. Rehmanimpact of model specification decisions on unit root tests 24 2. This paper generalizes the hegy type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by hylleberg, engle, granger and yoo 1990.
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