Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/12060
Using the HEGY Procedure When Not All Roots Are Present
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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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BARRIO CASTRO, Tomás del. Using the HEGY Procedure When Not All Roots Are Present. Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia). 2007. Vol. E07/170. [consulted: 10 of June of 2026]. Available at: https://hdl.handle.net/2445/12060