Structural breaks and unit roots in Australian macroeconomic time series

Narayan, Paresh Kumar and Smyth, Russell 2005, Structural breaks and unit roots in Australian macroeconomic time series, Pacific economic review, vol. 10, no. 4, pp. 421-437.

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Title Structural breaks and unit roots in Australian macroeconomic time series
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Pacific economic review
Volume number 10
Issue number 4
Start page 421
End page 437
Publisher Blackwell Asia Publishing
Place of publication Richmond, Vic.
Publication date 2005-12
ISSN 1361-374X
1468-0106
Summary We examine the unit root properties of 16 Australian macroeconomic time series using monthly data spanning the period 1960–2004. In addition to the standard Augmented Dickey Fuller (ADF) test, we implement one- and two-break endogenous structural break ADF-type unit root tests as well as one- and two-break Lagrange multiplier (LM) unit root tests. While the ADF test provides relatively little evidence against the unit root null hypothesis, once we allow for structural breaks we are able to reject the unit root null for just under half of the variables at the 10% level or better.
Language eng
Field of Research 140302 Econometric and Statistical Methods
140212 Macroeconomics (incl Monetary and Fiscal Theory)
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024728

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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