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

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

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

Estacionalidad determinista y estocástica en series temporales macroeconómicas

Basándose en la literatura existente, en este trabajo se propone una metodología para el estudio gráfico y analítico del componente estacional en una serie temporal. El objetivo del análisis es determinar si el componente estacional responde a un comportamiento determinista o estocástico. Se muestran un conjunto de aplicaciones con series de la CAPV y del Estado para las que se define un modelo estadístico que recoge las características observadas en el análisis de la serie.series temporales, estacionalidad, raíz unitaria

Estacionalidad determinista y estocástica en series temporales macroeconómicas

Basándose en la literatura existente, en este trabajo se propone una metodología para el estudio gráfico y analítico del componente estacional en una serie temporal. El objetivo del análisis es determinar si el componente estacional responde a un comportamiento determinista o estocástico. Se muestran un conjunto de aplicaciones con series de la CAPV y del Estado para las que se define un modelo estadístico que recoge las características observadas en el análisis de la serie.El primer autor agradece la financiación de la Universidad del País Vasco al grupo de investigación: 9/UPV-00038.321-13503/2001 y del Ministerio de Ciencia y Tecnología y FEDER para el proyecto: BEC2003-02028. El segundo de los autores agradece a la Universidad del País Vasco la ayuda económica ofrecida a través del programa de becas predoctorales

Seasonal Stability Tests in gretl. An Application to International Tourism Data

The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small samples. We present a method to numerically compute critical values and P-values for the CH tests for any sample size and any seasonal periodicity. In fact this method is applicable to the types of seasonality which are commonly in use, but also to any other.Research project ECO2010-15332 from Ministerio de Ciencia e Innovación, and from UPV/EHU Econometrics Research Group, Basque Government grant IT-642-13. Research project SAIOTEK-2012 S-PE12UN088 and grant IT869-13 from Basque Government