Work

Seasonal Unit Roots in Aggregate U.S. Data

Year: 1992

Type: report

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.

Source: National Bureau of Economic Research

DOI: 10.3386/t0126

Authors: J. Joseph Beaulieu, Jeffrey Miron

Institutions: Federal Reserve, National Bureau of Economic Research, Federal Reserve Board of Governors, Harvard University

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2011731395

Cites:

Cited by: 42

Related to: 10