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Exogenous Shocks and Nonstationary Time Series: The Case of the Philippines *
Author(s) -
Capuno J. J.
Publication year - 1995
Publication title -
asian economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.345
H-Index - 28
eISSN - 1467-8381
pISSN - 1351-3958
DOI - 10.1111/j.1467-8381.1995.tb00029.x
Subject(s) - economics , series (stratigraphy) , econometrics , unit root , macroeconomics , government (linguistics) , time series , unit (ring theory) , keynesian economics , monetary economics , mathematics , statistics , paleontology , linguistics , philosophy , mathematics education , biology
This paper demonstrates that the effects of the exogenous shocks experienced by the Philippine economy have been permanent rather than transitory. The finding emerges from the application of the Augmented Dickey‐Fuller (ADF) model and the segmented trend model which confirm the presence of unit roots in several Philippine macroeconomic time series variables. Moreover, the use of the segmented trend model focuses some insights regarding the influence of the government's stabilization policies on the macroeconomic variables under investigation.