Re: [Gretl-users] Seasonality test in gretl
On 16/10/12 09:17, mariusz doszyn' 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
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ehu.es/ignacio.diaz-emparanza/
www.ea3.ehu.es
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