7:34 a.m.
You should try x11 or tramo-seats
John
On Oct 16, 2012 7:18 AM, "mariusz doszyń" <madosz(a)wp.pl> 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)
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7:59 a.m.
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
12:16 p.m.
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
1:07 p.m.
Em 16 de outubro de 2012, Mariusz escreveu:
(...)
Em 16 de outubro de 2012, Sven escreveu:
(...)
> (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.)
Dear Mariusz and Sven, yes we have seasonality tests in Gretl ;-)
Please follow these instructions:
1. Select File -> Open data -> Sample file;
2. Select the Ramanathan tab and then double-click data9-7;
3. In the Gretl's main window select Variable -> X-12-ARIMA analysis;
4. Click ok.
Take a look at the results window (partially reproduced below):
D 8.A F-tests for seasonality
Test for the presence of seasonality assuming
stability.
Nonparametric Test for the Presence of Seasonality
Assuming Stability
Moving Seasonality Test
COMBINED TEST FOR THE PRESENCE OF IDENTIFIABLE
SEASONALITY
Best,
Henrique Andrade*
*
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.
1:34 p.m.
On Tue, 16 Oct 2012, Sven Schreiber wrote:
(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.)
Fourier stuff is not even remotely as popular as seasonal dummies, but I
personally much prefer it for monthly (or higher-frequency) data and yes,
it's just an F-test.
Example:
<hansl>
open bjg.gdt
series years = time/12
series ann1 = sin(2*pi*years)
series ann2 = cos(2*pi*years)
series sem1 = sin(4*pi*years)
series sem2 = cos(4*pi*years)
series qua1 = sin(8*pi*years)
series qua2 = cos(8*pi*years)
list SEAS = ann1 ann2 sem1 sem2 qua1 qua2
ols lg const time --robust
add SEAS # rejection -> seasonality
</hansl>
--------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
--------------------------------------------------
2:49 p.m.
It is an interesting tool which test both seasonality and unit test .I hope
somday i will be using that and comment.
regards
N.k.Dashora
On Tue, Oct 16, 2012 at 5:46 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
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
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6 comments
7 participants
participants (7)
-
Henrique Andrade -
Ignacio Diaz-Emparanza -
John C Frain -
mariusz doszyń -
Narandra Dashora -
Riccardo (Jack) Lucchetti -
Sven Schreiber