Seasonal Unit Roots in Aggregate U.S. Data
AbstractIn 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.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0126.
Date of creation: Aug 1992
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Publication status: 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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