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Seasonal unit roots in aggregate US data

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On durable and nondurable consumption with transactions costs

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What have macroeconomists learned about business cycles from the study of seasonal cycles?

Miron, Jeffrey A. - In: The review of economics and statistics 78 (1996) 1, pp. 54-66

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Seasonal Unit Roots in Aggregate U.S. Data

Beaulieu, Joe; Miron, Jeffrey A. - 2021

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...

Persistent link: https://www.econbiz.de/10013229151