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