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MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

MHEGY.SRC implements the monthly version of the "HEGY" (Hylleberg, Engle, Granger, and Yoo, 1990) seasonal unit root tests (use the HEGY.SRC version for quarterly series).

Suggested Citation

  • Tom Doan, "undated". "MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests," Statistical Software Components RTS00127, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00127
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/mhegy.src
    Download Restriction: no
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    More about this item

    Keywords

    Seasonal unit roots; RATS;

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