Object Reference : Object View and Procedure Reference : Series
Carries out seasonal unit root tests on a series.
Computes Hylleberg, Engle, Granger, and Yoo (HEGY, 1990) test, Smith and Taylor (1998) likelihood HEGY test, Canova and Hansen (CH, 1995), and Taylor (2005) HEGY variance ratio tests.
type = arg (default= “hegy”)
Test type: HEGY (“hegy”), HEGY likelihood (“lklhd”), Canova-Hansen (“ch”), HEGY variance ratio (“hegyvr”).
out= arg
Output matrix name (optional).
Basic Specification
periods = arg
Periodicity: “2”, “4”, “5”, “6”, or “12”. The default is workfile frequency specific: semi-annual (2), quarterly (4), bi-monthly (6), monthly (12), all others (4).
rstrct =arg
Restrictions to test (if “test=ch”): arg = space separated list of integers, “all” (all frequencies).
For example, if the number of periods is 4, the restriction “0 1 2” corresponds to the 0, harmonic pair , and frequencies.
dtr = arg
Non-seasonal deterministic variables to include in estimation: “none” (no exogenous variables), “const” (constant), “trend” (constant and linear trend). The default is “const” for “type=hegyvr” and “none” for all others.
sdtr = arg
Seasonal deterministic variables to include in estimation: “none” (no seasonal exogenous), “dum” (seasonal dummies), “const” (constant), “trend” (constant and linear trend).
Include lag of dependent variable in computations for Canova-Hansen test (“type = ch”).
Lag Difference Options
Specifies the number of lag difference terms to be included in the test equation. Applicable in “Summary”, LLC, Breitung, IPS, and Fisher-ADF tests. The default setting is to perform automatic lag selection using the Schwarz criteria (“lagmethod=sic”).
lagmethod=arg (default=“sic”)
Method for selecting lag lengths (number of first difference terms) to be included in the Dickey-Fuller test regressions:
“aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn), “tstat” (Ng-Perron first backward significant t-statistic).
Specified lag length (number of first difference terms) to be included in the regression: integer (user-specified common lag length), vector_name (user-specific individual lag length, one row per cross-section).
Maximum lag length to consider when performing automatic lag length selection: integer (common maximum lag length), or vector_name (individual maximum lag length, one row per cross-section). The default setting produces individual maximum lags of,
where is the length of the cross-section.
lagpval=arg (default=0.1)
Probability value for use in the t-statistic automatic lag selection method (when “lagmethod = tstat”).
General options
Force the dialog to appear from within a program.
Print output from the test.
houst.seasuroot(dtr=trend, sdtr=dum)
runs a traditional HEGY test using seasonal dummies and trend and automatic AIC lag selection.
houst.seasuroot(type=lklhd, dtr=trend, sdtr=trend, info=sic)
runs likelihood HEGY test using spectral intercepts and trends and automatic SIC lag selection.
airline.seasuroot(type=ch, sdtr=const, rstrct=0 6, lagdep)
does Canova-Hansen test for frequency 0 and PI, and add lag of dependent variable as regressor.
See Seasonal Unit Root Testing for a discussion of seasonal unit root testing.