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http://hdl.handle.net/2445/12060| Title: | Using the HEGY Procedure When Not All Roots Are Present |
| Author: | Barrio Castro, Tomás del |
| Keywords: | Econometria Econometrics |
| 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. |
| Note: | Les fòrmules matemàtiques del resum estan representades en LaTeX. |
| Note: | Reproducció digital del document publicat a http://www.ere.ub.es/dtreball/E07170.rdf/view |
| It is part of: | Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2007, E07/170 |
| URI: | http://hdl.handle.net/2445/12060 |
| Appears in Collections: | UB Economics – Working Papers [ERE] Documents de treball / Informes (Econometria, Estadística i Economia Aplicada) |
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