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Unit root tests with double trend breaks and the 1990s recession in Japan

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  • Mehl, Arnaud

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Bibliographic Info

Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 12 (2000)
Issue (Month): 4 (December)
Pages: 363-379

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Handle: RePEc:eee:japwor:v:12:y:2000:i:4:p:363-379

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Web page: http://www.elsevier.com/locate/inca/505557

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References

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  1. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  2. Moreno Ramon, 1995. "How Big Is the Permanent Component in GNP? The Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 9(2), pages 130-153, June.
  3. Bradley, Michael D & Jansen, Dennis W, 1995. "Unit Roots and Infrequent Large Shocks: New International Evidence on Output Growth," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 867-93, August.
  4. Hayami, Yujiro & Ogasawara, Junichi, 1999. "Changes in the Sources of Modern Economic Growth: Japan Compared with the United States," Journal of the Japanese and International Economies, Elsevier, vol. 13(1), pages 1-21, March.
  5. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  6. Iwamoto, Yasushi & Kobayashi, Hideyuki, 1992. "Testing for a unit root in Japanese GNP," Japan and the World Economy, Elsevier, vol. 4(1), pages 17-37, May.
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Cited by:
  1. Antonio E. Noriega & Luis M. Soria & Ramón Velázquez, 2008. "International Evidence on Stochastic and Deterministic Monetary Neutrality," Working Papers 2008-04, Banco de México.
  2. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.
  3. Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Development Research Unit Working Paper Series 40-07, Monash University, Department of Economics.
  4. Daniel Ventosa-Santaulària & José Eduardo Vera-Valdés, 2008. "Granger-Causality in the presence of structural breaks," Economics Bulletin, AccessEcon, vol. 3(61), pages 1-14.
  5. Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.

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