Abstract:The article extends the previous Hylleberg, Engle, Granger, and Yoo seasonal unit-root test commands (Baum and Sperling, 2001, https://ideas.repec.org/c/boc/bocode/s416502.html; Depalo, 2009, Stata Journal 9: 422-438), which allow for the use of both quarterly and monthly data. It is also possible to choose between ordinary least-squares and generalized leastsquares detrending (Rodrigues and Taylor, 2007, Journal of Econometrics 141: 548-573) procedures to deal with the deterministic part of the process. Th… Show more
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