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Testing for seasonal unit roots: simple tests and HEGY tests

Skrobotov, Anton; Turuntseva, Marina - In: Published Papers (2014) March

This paper covers seasonal unit roots tests developed in the last 25 years. The main attention is given to HEGY test …

Persistent link: https://www.econbiz.de/10011265373

Modeling Seasonality: Seasonal Integration, Deterministic Seasonality and Seasonal Structural Breaks

Skrobotov, Anton; Turuntseva, Marina - In: Published Papers (2014) March

The paper deals with methods of testing for seasonal unit root, deterministic seasonality and seasonal structural … simplest methods for seasonal unit roots testing and class of HEGY of tests. In this paper we present the results of seasonal …

Persistent link: https://www.econbiz.de/10011265376

Secilmis Ulkelere Gore Turkiye’nin Turizm Talebi

Zortuk, Mahmut; Bayrak, Seyhat - In: Istanbul University Econometrics and Statistics e-Journal 19 (2013) 1, pp. 38-58

test, HEGY, which was developed for quarterly series and was investigated whether or not have seasonal unit root. According …

Persistent link: https://www.econbiz.de/10010895243

SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device.

Díaz-Emparanza, Ignacio - EconWPA - 2004

transformations, applying the tests: 1- ADF, 2- HEGY, 3- KPSS, 4- Canova-Hansen. …

Persistent link: https://www.econbiz.de/10005407901

Seasonal Unit Root: An Application to Turkish Industrial Production Series

Pinar Gürel, Sinem; Tiryakioglu, Murad - In: Business and Economics Research Journal 3 (2012) 4, pp. 77-77

analysis is conducted using the HEGY approach developed by Hylleberg, Engle, Granger and Yoo (1990). It is important to … determine what kind of seasonality is present in the data. For this reason, we search for the seasonal unit root with five …-stationary stochastic seasonality in the series. …

Persistent link: https://www.econbiz.de/10010991053

Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman R.; Urbach, Richard - 2013

In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...

Persistent link: https://www.econbiz.de/10009777938