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A Unit Root Test with Structural Change for Japanese Macroeconomic Variables

Author

Listed:
  • Yutaka Soejima

    (Research Division 1, Institute for Monetary and Economic Studies, Bank of Japan)

Abstract

The problem of a time trend in the unit root test is first discussed and then a unit root test for Japanese macroeconomic variables under the assumption that a structural change has occurred in the time trend is conducted. Many Japanese macroeconomic variables exhibit a structural change in the data generating process around 1970. Once such a structural change in the time trend is taken into account, many real economic variables (such as real GNP) are found to follow a trend stationary process.

Suggested Citation

  • Yutaka Soejima, 1995. "A Unit Root Test with Structural Change for Japanese Macroeconomic Variables," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 13(1), pages 53-68, July.
    • Handle: RePEc:ime:imemes:v:13:y:1995:i:1:p:53-68
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    Citations

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    Cited by:

    1. Aggarwal, Raj & Mohanty, Sunil, 2000. "Rationality of Japanese macroeconomic survey forecasts: empirical evidence and comparisons with the US," Japan and the World Economy, Elsevier, vol. 12(1), pages 21-31, January.
    2. Higo, Masahiro & Nakada, Sachiko-Kuroda, 1998. "How Can We Extract a Fundamental Trend from an Economic Time- Series?," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(2), pages 61-111, December.
    3. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.
    4. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
    5. Mehl, Arnaud, 2000. "Unit root tests with double trend breaks and the 1990s recession in Japan," Japan and the World Economy, Elsevier, vol. 12(4), pages 363-379, December.
    6. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
    7. Fujiki, H., 1999. "Japanese money demand: evidence from regional monthly data1," Japan and the World Economy, Elsevier, vol. 11(3), pages 375-393, October.
    8. Sekine, Toshitaka, 1998. "Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 35-55, May.

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