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STRUCTURAL BREAKS AND UNIT ROOTS IN AUSTRALIAN MACROECONOMIC TIME SERIES
Author(s) -
Narayan Paresh Kumar,
Smyth Russell
Publication year - 2005
Publication title -
pacific economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/j.1468-0106.2005.00283.x
Subject(s) - unit root , augmented dickey–fuller test , structural break , unit root test , null hypothesis , series (stratigraphy) , econometrics
. 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.