seasuroot |

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.

Syntax

series_name.seasuroot(options)

Options

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). |

lagdep | 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). |

lag=arg | 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). |

maxlag=arg | 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, default= 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

prompt | Force the dialog to appear from within a program. |

p | Print output from the test. |

Examples

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.

Cross-references

See
“Seasonal Unit Root Testing” for a discussion of seasonal unit root testing.