Itemaren erregistro erraza erakusten du

dc.contributor.authorDíaz-Emparanza Herrero, Ignacio ORCID
dc.date.accessioned2011-12-21T15:15:49Z
dc.date.available2011-12-21T15:15:49Z
dc.date.issued2011-12
dc.identifier.issn1134-8984
dc.identifier.urihttp://hdl.handle.net/10810/5568
dc.description.abstractWhen working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surface regressions approach to calculate the critical values and P values of the HEGY statistics whatever the periodicity and sample size of the data. The algorithms are prepared with the Gretl open source econometrics package and some new tables of critical values for daily, hourly and half-hourly data are presented.es
dc.description.sponsorshipFinancial support from research project ECO2010-15332 from Ministerio de Ciencia e Innovación, and Econometrics Research Group IT-334-07 from the Basque Government are gratefully acknowledged. The SGI/IZO-SGIker UPV/EHU is gratefully aknowledged for its generous allocation of computational resourceses
dc.language.isoenges
dc.relationinfo:eu-repo/grantAgreement/MICINN/ECO2010-15332
dc.relation.ispartofseriesBiltoki 2011.09
dc.relation.hasversionNueva versión publicada en Agosto de 2014 en Computational Statistics & Data Analysis 76 (2014) : 237-247. http://dx.doi.org/10.1016/j.csda.2013.03.006es
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/*
dc.subjectseasonalityes
dc.subjectunit rootses
dc.subjectsurface response analysises
dc.titleNumerical Distribution Functions for Seasonal Unit Root Testses
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-NoDerivs 3.0 Unported*
dc.identifier.repecRePEc:ehu:biltok:5568es
dc.departamentoesEconomía aplicada III (Econometría y Estadística)es_ES
dc.departamentoeuEkonomia aplikatua III (ekonometria eta estatistika)es_ES


Item honetako fitxategiak

No Thumbnail [100%x80]
No Thumbnail [100%x80]

Item hau honako bilduma honetan/hauetan agertzen da

Itemaren erregistro erraza erakusten du

Attribution-NonCommercial-NoDerivs 3.0 Unported
Bestelakorik adierazi ezean, itemaren baimena horrela deskribatzen da:Attribution-NonCommercial-NoDerivs 3.0 Unported