HEGY.test {uroot}R Documentation

Hylleberg-Engle-Granger-Yoo test

Description

This function computes the Hylleberg-Engle-Granger-Yoo statistic for testing the null hypothesis that exits a unit root at long run or seasonal frequencies.

Usage

     HEGY.test (label, compdet, selecP, Mvfic, VFEp, showcat)
   

Arguments

label a list object with information about the series. The list consist of the following elements. vari, a ts object with the data of the series, s, the periodicity of the series (4, 12, or 1 for quarterly, monthly, or anual data), t0, a vector of two elements indicating the year and season of the first observation, N, number of observations.
compdet a vector indicating the deterministic components included in the auxiliar regression.
selecP method for selecting lags included in the auxiliar regression.
Mvfic a matrix containing any particular dummy.
VFEp a matrix containing partial seasonal dummies.
showcat how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results.

Details

compdet is a numeric vector of length three. If an element is equal to 1 it indicates that a constant, linear trend or seasonal dummies respectively are included. Otherwise, the element must be set to zero.

Mvfic and VFEp are two kinds of dummies. The first one is a generic dummy and any 0-1 column-matrix can be designed for it. The second one includes seasonal dummies for only some, not necessarily all of the seasons.

Available lag selection methods are the following: aiclb is based on the AIC criterion and Ljung-Box test, biclb is based on the BIC criterion and Ljung-Box test, aiclut follows a top-down strategy based on the AIC criterion, biclut follows a top-down strategy based on the BIC criterion, signf retains the significant lags. It is also possible to set the argument selecP equals to a vector, for instance, SelecP=c(1,3,4) for those lags to be included in the auxiliar regression.

Value

HEGY t-statistics and F-statistics for unit root hypothesis, coefficient and t-statistics of the deterministic components, number of available observations.

Author(s)

Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza etpdihei@bs.ehu.es

References

S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.

J. Beaulieu and J. Miron (1993), Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 54, 305-328.

P.H. Franses (1990), Testing for seasonal unit roots in monthly data, Technical Report 9032, Econometric Institute.

Examples

     ## HEGY test with constant and seasonal dummies and without other dummies.
     data(AirPassengers)
     AirP <- list(vari=AirPassengers, s=12, t0=c(1949, 1), N=length(AirPassengers))
     HEGY.test(label=AirP, compdet=c(1,0,1), selecP="biclb", Mvfic=0, VFEp=0, showcat=TRUE)
   

[Package uroot version 1.2 Index]