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.

download in pdf format
   (1224 K)

email paper

This paper is available as PDF (1224 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0126

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.

Users who downloaded this paper also downloaded these:
Beaulieu and Miron w3450 The Seasonal Cycle in U.S. Manufacturing
Miron w3522 The Economics of Seasonal Cycles
Lake w0126 Transnational Activity and Market Entry in the Semiconductor Industry
Beaulieu and Miron w3459 A Cross Country Comparison of Seasonal Cycles and Business Cycles
Bartlesman and Gray t0205 The NBER Manufacturing Productivity Database
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us