HEGY Tests in the Presence of Moving Averages* |
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Authors: | Tomás Del Barrio Castro Denise R Osborn |
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Institution: | 1. Department of Applied Economics, University of the Balearic Islands, Palma de Mallorca, 07013, Spain (e‐mail: tomas.barrio@uib.es);2. Economics, School of Social Sciences, University of Manchester, Manchester, M13 9PL, UK (e‐mail: denise.osborn@manchester.ac.uk) |
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Abstract: | We analyze the asymptotic distributions associated with the seasonal unit root tests of Hylleberg et al. (1990) for quarterly data when the innovations follow a moving average process. Although both the t‐ and F‐type tests suffer from scale and shift effects compared with the presumed null distributions when a fixed order of autoregressive augmentation is applied, these effects disappear when the order of augmentation is sufficiently large. However, as found by Burridge and Taylor (2001) for the autoregressive case, individual t‐ratio tests at the semi‐annual frequency are not pivotal even with high orders of augmentation, although the corresponding joint F‐type statistic is pivotal. Monte Carlo simulations verify the importance of the order of augmentation for finite samples generated by seasonally integrated moving average processes. |
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Keywords: | C12 C22 |
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