NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Seasonal Unit Roots in Aggregate U.S. Data

J. Joseph Beaulieu, Jeffrey A. Miron

NBER Technical Working Paper No. 126*
Issued in August 1992
NBER Program(s):   EFG

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.

*Published: 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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