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The performance of lag selection and detrending methods for HEGY seasonal unit root tests

Barrio Castro, Tomás del; Osborn, Denise R.; Taylor, Robert - In: Econometric reviews 35 (2016) 1/4, pp. 122-168

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011549897

The performance of lag selection and detrending methods for HEGY seasonal unit root tests

Barrio Castro, Tomás del; Osborn, Denise R.; Taylor, Robert - 2012

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009659181

Bootstrapping the HEGY Seasonal Unit Root Tests

Taylor, Robert; Burridge, Peter - Econometric Society - 2004

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005130173

Robust methods for detecting multiple level breaks in autocorrelated time series

Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. … - Granger Centre for Time Series Econometrics, School of … - 2011

The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010704586