Re: [Gretl-users] Seasonality test in gretl
Am 16.10.2012 09:59, schrieb Ignacio Diaz-Emparanza:
On 16/10/12 09:17, mariusz doszyń wrote:
>
> Dear Colleages,
>
> Is the in gretl a test that enables verification hypothesis about
> seasonality? Because of the data set properties this test should be
> rather different than estimation of models with seasonal dummy
> variables. Thank in advance for help.
>
> Best regards,
>
> Mariusz (Poland)
>
There is a function package (by Jack Lucchetti) which performs the HEGY
tests for seasonal unit roots. You may find it from gretl opening the
menu 'File' in /File/Function files/On server... the name is HEGY_test.
I have worked on a generalization of the HEGY tests to any seasonal
periodicity and have a paper under evaluation. You may find the working
paper at http://hdl.handle.net/10810/5568
Although it seemed to me that Mariusz had in mind seasonality in
general, not the relatively extreme case of seasonal unit roots.
(I don't know if there is some predefined test for seasonality in gretl
-- in the case of OLS models one way might be to just add seasonal
dummies and do an F-test for their significance.)
cheers,
sven