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Title: Using the HEGY Procedure When Not All Roots Are Present
Author: Barrio Castro, Tomás del
Keywords: Econometria
Issue Date: 2007
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-Eco07/170]
Abstract: Empirical studies have shown little evidence to support the presence of all unit roots present in the Δ4 filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present.
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It is part of: Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2007, E07/170
Appears in Collections:UB Economics – Working Papers [ERE]
Documents de treball / Informes (Econometria, Estadística i Economia Aplicada)

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