hegy.reg {pdR} | R Documentation |
Generate the HEGY regressors.
Description
This function generates the level regresors in HEGY regression, without differenced lag terms.
Usage
hegy.reg(wts)
Arguments
wts |
Univariate time series, with a possibly seasonal stochastic trend |
Details
This function automatically identifies the frequency of time series data, and generate necessary level components as described in Eq.(3.7) of Hylleberg et. al (1990).
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.reg(y)
[Package pdR version 1.9.2 Index]