Numerical Distribution Functions for Seasonal Unit Root Tests

When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surface regressions approach to calculate the critical values and P values of the HEGY statistics whatever the periodicity and sample size of the data. The algorithms are prepared with the Gretl open source econometrics package and some new tables of critical values for daily, hourly and half-hourly data are presented.seasonality, unit roots, surface response analysis

SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device.

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.Codec, RATS, Unit roots, Canova-Hansen, HEGY

TRAMO/SEATS y X12ARIMA. Breve guía de acceso mediante Gretl

Aquí se explica el funcionamiento de los enlaces con TRAMO/SEATS y X12ARIMA de Gretl. Se describe su forma de utilización y la equivalencia entre las entradas de menú de Gretl y los parámetros en línea de instrucciones de TRAMO/SEATS.Gretl, TRAMO, SEATS, X12ARIMA, codec

Immigrants in Spain: skills acquisition and development. A regional study

The consequences of international migration for development in countries of origin and destination remain hotly debated. The immigration flows could be considered an appropriate mechanism to contribute to the development of origin countries if they recognize the qualifications of immigrants or contribute to the acquisition of skills. Correspondence analysis is used to determine the relation between education level, job position and legal situation of immigrants in Spain. The results indicate that immigrants are occupying non skilled tasks, even in the case of well educated immigrants. Furthermore, these immigrants have no options to increase their skills nor by experience (in the job) neither by theirself (attending a school), since the immigration police only authorizes very short migration. Then, Spain is not contributing appropriately to the development of origin countries.

Numerical Distribution Functions for Seasonal Unit Root Tests

When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surface regressions approach to calculate the critical values and P values of the HEGY statistics whatever the periodicity and sample size of the data. The algorithms are prepared with the Gretl open source econometrics package and some new tables of critical values for daily, hourly and half-hourly data are presented.Financial support from research project ECO2010-15332 from Ministerio de Ciencia e Innovación, and Econometrics Research Group IT-334-07 from the Basque Government are gratefully acknowledged. The SGI/IZO-SGIker UPV/EHU is gratefully aknowledged for its generous allocation of computational resource

On the use of simulation methods to compute probabilities: application to the first division Spanish soccer league

We consider the problem of using the points a given team has in the First Division Spanish Soccer League to estimate its probabilities of achieving a specific objective, such as, for example, staying in the first division or playing the European Champions League. We started thinking about this specific problem and how to approach it after reading that some soccer coaches indicate that a team in the first division guarantees its staying in that division if it has a total of 42 points at the end of the regular season. This problem differs from the typical probability estimation problem because we only know the actual cumulative score a given team has at some point during the regular season. Under this setting a series of different assumptions can be made to predict the probability of interest at the end of the season. We describe the specific theoretical probability model using the multinomial distribution and, then, introduce two approximations to compute the probability of interest, as well as the exact method. The different proposed methods are then evaluated and also applied to the example that motivated them. One interesting result is that the predicted probabilities can then be dynamically evaluated by using data from the current soccer competition.Peer Reviewe

On the use of simulation methods to compute probabilities: application to the first division Spanish soccer league

We consider the problem of using the points a given team has in the First Division Spanish Soccer League to estimate its probabilities of achieving a specific objective, such as, for example, staying in the first division or playing the European Champions League. We started thinking about this specific problem and how to approach it after reading that some soccer coaches indicate that a team in the first division guarantees its staying in that division if it has a total of 42 points at the end of the regular season. This problem differs from the typical probability estimation problem because we only know the actual cumulative score a given team has at some point during the regular season. Under this setting a series of different assumptions can be made to predict the probability of interest at the end of the season. We describe the specific theoretical probability model using the multinomial distribution and, then, introduce two approximations to compute the probability of interest, as well as the exact method. The different proposed methods are then evaluated and also applied to the example that motivated them. One interesting result is that the predicted probabilities can then be dynamically evaluated by using data from the current soccer competition.Peer Reviewe

Hansl para principiantes

Aquí se dan unas primeras indicaciones sobre el lenguaje de programación Hansl al usuario de Gretl que ya ya ha utilizado el programa mediante su interfaz gráfica (ventanas y menús) y desea aprender a programar nuevos estimadores, modelos y funciones que Gretl no tiene implementados y, por tanto, no están accesibles por medio del menú.Gobierno Vasco, GIC12/14. Ministerio de Economía y Competitividad, ECO2013-40935-

Analysis of the relationship between International Immigration and Unemployement

[EN] The relationship between the unemployment and the international immigration is getting interest while the differences between poor and rich countries are stressed. The poor countries offer cheap work force to occupy less qualified jobs in rich countries, with citizen increasingly demanding and qualified. In spite of this evidence, the immigration is object of huge polemics and by this motive is being studied in those countries where this phenomenon is important. In this study, evidence of the unitary roots in the seasonal frequencies of the "Work Permits" and "Unemployment" series is provided. Because of this, the existence of seasonal cointegration between both series is tested. The results indicate that the only cointegrating relations between both variable are trivial and, therefore, the variables are not related in the long run. In the Short term, the estimate of the VAR model shows that the changes in the immigration during the years 1981-1998 hardly had effects on the unemployment. The opposite relationship, though statistically meaningful, it is also very weak.immigration, unemployment, seasonal cointegration, cointegración estacional, desempleo, inmigración