IDEAS home Printed from https://ideas.repec.org/c/wpa/wuwppr/0401001.html
 

SURGAT Seasonal Unit Roots Graphical Analysis and Testing device

Author

Listed:
  • Ignacio Díaz-Emparanza

    (Universidad del País Vasco)

Programming Language

Abstract

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal difference, the series without its deterministic trend, without its deterministic seasonal, estimated eficiently in both cases by means of a deterministic+autoregressive model. The procedure offers several graphs of the series and its transformations: 1- the series, ACF , PACF and spectrum 2- seasonal filters 3- seasonal paths (Buys-Ballot plots) 4- regular paths The program also contains a menu for testing unit roots over the series and its transformations, applying the tests: 1- ADF, 2- HEGY, 3- KPSS, 4- Canova-Hansen.

Suggested Citation

  • Ignacio Díaz-Emparanza, 2004. "SURGAT Seasonal Unit Roots Graphical Analysis and Testing device," Computer Programs 0401001, University Library of Munich, Germany, revised 19 Oct 2004.
    • Handle: RePEc:wpa:wuwppr:0401001
    Note: Type of Document - html;
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/prog/papers/0401/0401001.html
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    Seasonality; HEGY; Canova-Hansen;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwppr:0401001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.