TY  - JOUR
AU  - Beaulieu,J. Joseph
AU  - Miron,Jeffrey A.
TI  - Seasonal Unit Roots in Aggregate U.S. Data
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 126
PY  - 1992
Y2  - August 1992
UR  - http://www.nber.org/papers/t0126
L1  - http://www.nber.org/papers/t0126.pdf
N1  - Author contact info:
Joseph Beaulieu
Division of Research & Statistics
The Federal Reserve Board, Mail Stop 82
20th and Constitution
Washington, DC  20551
Tel: 617/253-8712
E-Mail: no email available

Jeffrey A. Miron
Department of Economics
Harvard University
Cambridge, MA 02138
Tel: 781/856-0086
Fax: 617/495-8570
E-Mail: miron@fas.harvard.edu
AB  - 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.
ER  -