Bootstrapping the HEGY Seasonal Unit Root Tests

A Taylor, P Burridge, Anthony Taylor

Research output: Contribution to journalArticle

13 Citations (Scopus)


This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (J. Econometrics 44 (1990) 215-238) (HEGY). We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when applied to series having higher-order serial correlation and/or periodic heteroscedasticity, both of which are known to severely distort the significance level of the conventional tests. Our results demonstrate that the bootstrap provides good approximations to the statistics' null distributions. Moreover, the bootstrap corrects the adverse effects of data-dependent lag selection seen in the conventional augmented HEGY tests. The bootstrapped tests have comparable power to (infeasible) exactly significance-level-corrected lag-augmented HEGY tests, and their use is recommended. (C) 2003 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)67-87
Number of pages21
JournalJournal of Econometrics
Publication statusPublished - 1 Jan 2004


  • data-based lag selection
  • periodic heteroscedasticity
  • bootstrap tests
  • seasonal unit roots
  • higher-order serial correlation


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