Seasonal Unit Roots in Aggregate U.S. Data

45 Pages Posted: 29 Jun 2004

See all articles by Joe Beaulieu

Joe Beaulieu

Board of Governors of the Federal Reserve - Division of Research and Statistics - Industrial Output Section; National Bureau of Economic Research (NBER)

Jeffrey A. Miron

Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: August 1992

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.

Suggested Citation

Beaulieu, J. Joseph and Miron, Jeffrey A., Seasonal Unit Roots in Aggregate U.S. Data (August 1992). NBER Working Paper No. t0126. Available at SSRN: https://ssrn.com/abstract=225159

J. Joseph Beaulieu (Contact Author)

Board of Governors of the Federal Reserve - Division of Research and Statistics - Industrial Output Section

20th and Constitution Ave., NW
Washington, DC 20551
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202-452-3819 (Fax)

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

Jeffrey A. Miron

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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