du.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Testing for Seasonal Unit Roots when Residuals Contain Serial Correlations under HEGY Test Framework
Dalarna University, School of Technology and Business Studies, Statistics.ORCID iD: 0000-0003-2970-9622
2013 (English)Report (Other academic)
Abstract [en]

This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.

Place, publisher, year, edition, pages
Högskolan Dalarna , 2013.
Series
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 3
Keyword [en]
HEGY test; Serial correlations, Corrected t statistics
National Category
Economics
Research subject
Komplexa system - mikrodataanalys, Statistisk modellering är grunden till en ökad förståelse inom genetik!
Identifiers
URN: urn:nbn:se:du-11756OAI: oai:DiVA.org:du-11756DiVA: diva2:600682
Note

Preprint

Available from: 2013-01-25 Created: 2013-01-25 Last updated: 2015-05-07Bibliographically approved

Open Access in DiVA

fulltext(324 kB)250 downloads
File information
File name FULLTEXT01.pdfFile size 324 kBChecksum SHA-512
13b79d7d58dbe17b12e9b48653f5f554c139a4bc1e3ec43ae3c63f62fe27ae5c0365390ae0458d9989af25b0a0cb9761b0a47712fc6ecc0fe176232afac9c526
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Meng, Xiangli
By organisation
Statistics
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 250 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 634 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf