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Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered

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Author Info
Nunes, Luis C
Newbold, Paul
Kuan, Chung-Ming

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Abstract

C. R. Nelson and C. I. Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen U.S. macroeconomic time series. P. Perron (1989) claimed that such evidence was available for a majority of these series if the alternative hypothesis was of trend stationarity with a break in 1929. E. Zivot and D. W. K. Andrews (1992) treated the break date as endogenous, then finding strong evidence against the null for a minority of these series. The authors' own analysis extends theirs by permitting a break under the null as well as the alternative hypothesis and allowing for the sequential nature of the testing. Their empirical findings complete the circle. The authors find no strong evidence against the unit root hypothesis for any of the thirteen Neslon-Plosser series. Copyright 1997 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 59 (1997)
Issue (Month): 4 (November)
Pages: 435-48
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Handle: RePEc:bla:obuest:v:59:y:1997:i:4:p:435-48

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  4. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
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  13. Vasco J. C. R. De A. Gabriel & Artur C. B. Da Silva Lopes & Luis C. Nunes, 2003. "Instability in cointegration regressions: a brief review with an application to money demand in Portugal," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 893-900, January. [Downloadable!] (restricted)
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  15. E. Schirru, 1996. "Modelli di determinazione del tasso di cambio: un'analisi di cointegrazione," Working Paper CRENoS 199610, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
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