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Structural changes and unit roots in Japan's macroeconomic time series: is real business cycle theory supported?

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  • Hayashi, Naotsugu
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    Article provided by Elsevier in its journal Japan and the World Economy.

    Volume (Year): 17 (2005)
    Issue (Month): 2 (April)
    Pages: 239-259

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    Handle: RePEc:eee:japwor:v:17:y:2005:i:2:p:239-259

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

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    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    3. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
    4. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
    5. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 237-50, July.
    6. Yamamoto, Taku, 1996. "A Simple Approach to the Statistical Inference in Linear Time Series Models Which May Have Some Unit Roots," Hitotsubashi Journal of Economics, Hitotsubashi University, Hitotsubashi University, vol. 37(2), pages 87-100, December.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
    8. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 251-70, July.
    9. Iwamoto, Yasushi & Kobayashi, Hideyuki, 1992. "Testing for a unit root in Japanese GNP," Japan and the World Economy, Elsevier, Elsevier, vol. 4(1), pages 17-37, May.
    10. Naoto Kunitomo, 1996. "Tests Of Unit Roots And Cointegration Hypotheses In Econometric Models," The Japanese Economic Review, Japanese Economic Association, Japanese Economic Association, vol. 47(1), pages 79-109, 03.
    11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, Econometric Society, vol. 50(6), pages 1345-70, November.
    12. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(1), pages 39-69, February.
    13. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
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