Seasonal Unit Roots in Aggregate U.S. Data

J. Joseph Beaulieu and Jeffrey Miron ()

No 126, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte Carlo methods to compute the finite sample critical values of the associated test statistics. We then apply quarterly and monthly HEGY procedures to aggregate U.S. data. The data reject the presence of unit roots at most seasonal frequencies in a large fraction of the series considered.

Date: 1992-08
Note: EFG
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Published as Beaulieu, J. Joseph and Jeffrey A. Miron. "Seasonal Unit Roots In Aggregate U.S. Data," Journal of Econometrics, 1993, v55(1/2), 305-328.

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Journal Article: Seasonal unit roots in aggregate U.S. data (1993)
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