HEGY.test {pdR} | R Documentation |
Seasonal unit root test based on Hylleberg et al. (1990)
Description
The function performs seasonal unit root test based on Eq.(3.6) of Hylleberg et al. (1990), univariate time series.
Usage
HEGY.test(wts, itsd, regvar = 0, selectlags = list(mode = "signf", Pmax = NULL))
Arguments
wts |
Univariate time series |
itsd |
Options for c(i,t,sd) |
regvar |
Additional regressors |
selectlags |
Selection of lags |
Details
Mode for selectlags has three options, AIC and BIC use R built-in functions for linear model and their meanings are popular and straightforward. They include only lags that meet specific criterion, others are dropped from regressors. That is, lag orders of your model may not be a regular sequence. See also selPsignf() and selPabic().
Value
stats |
Tests statistics for HEGY regression coefficients. |
hegycoefs |
HEGY regression coefficients. |
lagsorder |
Lags order. "aic" or "bic" returns a scalar; "signf" returns a sequence of numbers |
lagcoefs |
Coefficients of lag terms. |
regvarcoefs |
Coefficient(s) of additional regressor(s). |
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, modifed from Javier Lopez-de-Lacalle
References
Hylleberg, S., Engle, R.F., Granger, C.W.J., and Yoo, B.S.(1990) Seasonal integration and cointegration. Journal of Econometrics,44, 215-238.
Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R
Examples
data(inf_Q)
y<-inf_Q[,1]
hegy.out<-HEGY.test(wts=y, itsd=c(1,0,c(1:3)),regvar=0, selectlags=list(mode="aic", Pmax=12))
hegy.out$stats #HEGY test statistics
names(hegy.out) # HEGY objects, which can be called by using $, see below.
hegy.out$hegycoefs
hegy.out$regvarcoefs