{"title":"澳大利亚宏观经济时间序列的结构断裂和单位根","authors":"R. Smyth, P. Narayan","doi":"10.1111/j.1468-0106.2005.00283.x","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":134313,"journal":{"name":"Wiley-Blackwell: Pacific Economic Review","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2005-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"41","resultStr":"{\"title\":\"Structural Breaks and Unit Roots in Australian Macroeconomic Time Series\",\"authors\":\"R. Smyth, P. Narayan\",\"doi\":\"10.1111/j.1468-0106.2005.00283.x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":134313,\"journal\":{\"name\":\"Wiley-Blackwell: Pacific Economic Review\",\"volume\":\"2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2005-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"41\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley-Blackwell: Pacific Economic Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/j.1468-0106.2005.00283.x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Pacific Economic Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/j.1468-0106.2005.00283.x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Structural Breaks and Unit Roots in Australian Macroeconomic Time Series
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.
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