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Computational Statistics

, Volume 32, Issue 4, pp 1533–1568 | Cite as

Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending

  • Tomás del Barrio Castro
  • Andrii Bodnar
  • Andreu Sansó
Original Paper
  • 179 Downloads

Abstract

This paper implements the approach introduced by MacKinnon (J Bus Econ Stat 12:167–176, 1994, J Appl Econom 11:601–618, 1996) to estimate the response surface of the test statistics of seasonal unit root tests with OLS and GLS detrending for quarterly and monthly time series. The Gauss code that is available in the supplementary material of the paper produces p values for five test statistics depending on the sample size, deterministic terms and frequency of the data. A comparison with previous studies is undertaken, and an empirical example using airport passenger arrivals to a tourist destination is carried out. Quantile function coefficients are reported for simple computation of critical values for tests at 1, 5 and 10 % significance levels.

Keywords

HEGY test GLS detrending Response surfaces p values 

Notes

Acknowledgments

We would like to thank an anonymous referee for his/her helpful comments. Tomas del Barrio Castro and Andreu Sansó knowledge financial support from Spanish Ministerio de Educación, Cultura y Deporte under Grant ECO2014-58991-C3-3-R.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  • Tomás del Barrio Castro
    • 1
  • Andrii Bodnar
    • 1
  • Andreu Sansó
    • 1
  1. 1.Department of Applied EconomicsUniversity of the Balearic IslandsPalma de MallorcaSpain

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