Download This PaperSeasonal Unit Roots in Aggregate U.S. Data
45 Pages Posted: 29 Jun 2004 Last revised: 8 May 2022
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: 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
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.