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Econometric Reviews Volume 35, 2016 - Issue 1: Meritocracy and Assessment of Scholarly Outcomes
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Original Articles

The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

Tomás del Barrio Castro Department of Applied Economics, University of the Balearic Islands, Islas Baleares, Spain
,
Denise R. Osborn Economics, School of Social Sciences, University of Manchester, Manchester, U.K.
&
A.M. Robert Taylor Essex Business School, University of Essex, Colchester, U.K.Correspondence[email protected]
Pages 122-168 | Published online: 13 Aug 2014

Citations (14)

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Read on this site (3)

Cigdem Kosar Tas & Hüseyin Guler. (2023) Determining seasonal unit roots with bridge estimator: Monte Carlo evidence and an application to convergence hypothesis. Communications in Statistics - Theory and Methods 0:0, pages 1-23.
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Cigdem Kosar Tas, Huseyin Guler & Yeliz Yalcin. (2022) The usage of bridge estimator to determine the order of integration for possibly integrated series as an alternative to Dickey–Pantula unit root test. Communications in Statistics - Simulation and Computation 0:0, pages 1-17.
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Giuseppe Cavaliere, Anton Skrobotov & A. M. Robert Taylor. (2019) Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews 38:5, pages 509-532.
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Articles from other publishers (11)

Juan F. Rendón, Lina M. Cortés & Javier Perote. (2023) Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy. The World Economy.
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Burak Alparslan Eroğlu & Ayşe Özgür Pehlivan. (2022) Regulated seasonal unit root process. Studies in Nonlinear Dynamics & Econometrics 26:3, pages 361-385.
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Tomás del Barrio Castro, Gianluca Cubadda & Denise R. Osborn. (2021) On cointegration for processes integrated at different frequencies. Journal of Time Series Analysis 43:3, pages 412-435.
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Nan Zou & Dimitris N. Politis. (2021) Bootstrap seasonal unit root test under periodic variation. Econometrics and Statistics 19, pages 1-21.
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Burak Alparslan Eroğlu, Kemal Çağlar Göğebakan & Mirza Trokić. (2018) Powerful nonparametric seasonal unit root tests. Economics Letters 167, pages 75-80.
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Tomás del Barrio Castro, Paulo M.M. Rodrigues & A.M. Robert Taylor. (2017) SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS. Econometric Theory 34:2, pages 447-476.
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Tomás del Barrio Castro, Andrii Bodnar & Andreu Sansó. (2016) Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending. Computational Statistics 32:4, pages 1533-1568.
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Ikerne del Valle, Kepa Astorkiza & Ignacio Díaz-Emparanza. (2016) Measuring species concentration, diversification and dependency in a macro-fishery. Empirical Economics 52:4, pages 1689-1713.
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Tomás del Barrio Castro & Alain Hecq. (2016) Testing for deterministic seasonality in mixed-frequency VARs. Economics Letters 149, pages 20-24.
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Tomás Del Barrio Castro, Andrii Bodnar & Andreu Sansó. (2016) The Lag-length Selection and Detrending Methods for HEGY Seasonal Unit-root Tests Using Stata. The Stata Journal: Promoting communications on statistics and Stata 16:3, pages 740-760.
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Anton Skrobotov & Marina Turuntseva. (2014) : HEGY (Testing of Seasonal Unit Roots: A Simple Test and Test HEGY). SSRN Electronic Journal.
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