Seasonal Unit Roots in Aggregate U.S. Data / J. Joseph Beaulieu, Jeffrey A. Miron.

Format:

Book

Author/Creator:

Beaulieu, J. Joseph.

Contributor:

National Bureau of Economic Research.

Miron, Jeffrey A.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0126.

NBER technical working paper series no. t0126

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1992.

Summary:

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.

Notes:

Print version record

August 1992.