dc.contributor.author | Narayan, Paresh | |
dc.contributor.author | Smyth, Russell | |
dc.date.accessioned | 2017-05-03T14:34:48Z | |
dc.date.available | 2017-05-03T14:34:48Z | |
dc.date.issued | 2005 | |
dc.date.modified | 2007-03-19T21:47:05Z | |
dc.identifier.issn | 1361374X | |
dc.identifier.doi | 10.1111/j.1468-0106.2005.00283.x | |
dc.identifier.uri | http://hdl.handle.net/10072/4500 | |
dc.description.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. | |
dc.description.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Blackwell Publishing Asia | |
dc.publisher.place | Australia | |
dc.publisher.uri | http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0106.2005.00283.x | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 421 | |
dc.relation.ispartofpageto | 437 | |
dc.relation.ispartofissue | 4 | |
dc.relation.ispartofjournal | PACIFIC ECONOMIC REVIEW | |
dc.relation.ispartofvolume | 10 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Economics | |
dc.subject.fieldofresearchcode | 14 | |
dc.title | Structural Breaks and Unit Roots in Australian Macroeconomic Time Series | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.rights.copyright | © 2005 Blackwell Publishing. The definitive version is available at [www.blackwell-synergy.com.] | |
gro.date.issued | 2005 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Narayan, Paresh | |