| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0126 |
| 来源ID | Technical Working Paper 0126 |
| Seasonal Unit Roots in Aggregate U.S. Data | |
| J. Joseph Beaulieu; Jeffrey A. Miron | |
| 发表日期 | 1992-08-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0126 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561480 |
| 推荐引用方式 GB/T 7714 | J. Joseph Beaulieu,Jeffrey A. Miron. Seasonal Unit Roots in Aggregate U.S. Data. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0126.pdf（1223KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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