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dc.contributor.authorNarayan, Paresh
dc.contributor.authorSmyth, Russell
dc.date.accessioned2017-05-03T14:34:48Z
dc.date.available2017-05-03T14:34:48Z
dc.date.issued2005
dc.date.modified2007-03-19T21:47:05Z
dc.identifier.issn1361374X
dc.identifier.doi10.1111/j.1468-0106.2005.00283.x
dc.identifier.urihttp://hdl.handle.net/10072/4500
dc.description.abstractWe 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherBlackwell Publishing Asia
dc.publisher.placeAustralia
dc.publisher.urihttp://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0106.2005.00283.x
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom421
dc.relation.ispartofpageto437
dc.relation.ispartofissue4
dc.relation.ispartofjournalPACIFIC ECONOMIC REVIEW
dc.relation.ispartofvolume10
dc.rights.retentionY
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode14
dc.titleStructural Breaks and Unit Roots in Australian Macroeconomic Time Series
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2005 Blackwell Publishing. The definitive version is available at [www.blackwell-synergy.com.]
gro.date.issued2005
gro.hasfulltextNo Full Text
gro.griffith.authorNarayan, Paresh


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