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

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.

### 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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\textit{J. J. Beaulieu} and \textit{J. A. Miron}, J. Econom. 55, No. 1--2, 305--331 (1993; Zbl 0756.62041)

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### References:

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