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SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device

Author

Listed:
  • Ignacio Díaz-Emparanza

    (Universidad del País Vasco)

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 efficiently 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," Econometrics 0410009, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0410009
    Note: Type of Document - pdf; pages: 3
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    Keywords

    Codec; RATS; Unit roots; Canova-Hansen; HEGY;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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