Using the HEGY Procedure When Not All Roots Are Present

Abstract

Les fòrmules matemàtiques del resum estan representades en LaTeX.

Empirical studies have shown little evidence to support the presence of all unit roots present in the Δ4 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.