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Beaulieu, J. Joseph; Miron, Jeffrey A.

Seasonal unit roots in aggregate U.S. data (with discussion). (English) Zbl 0756.62041

J. Econom. 55, No. 1-2, 305-331 (1993).
Summary: We provide evidence on the presence of seasonal unit roots in aggregate U. S. data. The analysis is conducted using the approach developed by S. Hylleberg, R. F. Engle, C. W. J. Granger and B. S. Yoo [J. Econ. 44, No. 1/2, 215–238 (1990; Zbl 0709.62102)] [HEGY]. We first derive the mechanics 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 the 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.

Cited in 3 Reviews
Cited in 49 Documents

MSC:

62P20 Applications of statistics to economics

Keywords:

seasonal unit roots; Monte Carlo methods; finite sample critical values; aggregate U.S. data

Citations:

Zbl 0709.62102
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Full Text: DOI

References:

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