Castro, Tomas del Barrio - Facultat d'Economia i Empresa, Universitat de Barcelona - 2007
Empirical studies have shown little evidence to support the presence of all unit roots present in the filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present....