HEGY tests in the presence of moving averages

Tomás Del Barrio Castro, Denise R. Osborn

Research output: Contribution to journalArticlepeer-review

Abstract

We analyze the asymptotic distributions associated with the seasonal unit root tests of Hylleberg (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. © Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2011.
Original languageEnglish
Pages (from-to)691-704
Number of pages13
JournalOxford Bulletin of Economics and Statistics
Volume73
Issue number5
DOIs
Publication statusPublished - Oct 2011

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