Structural change and unit root testing: British industrial production 1700-1913
AbstractThis paper considers unit root tests of the index of British industrial production 1700-1913. For the full sample the data are found to be I(1). However, three distinct phases are identified with alternating stationarity properties. One period, 1780-1851, is identified as the British Industrial Revolution. The results support the findings of Perron (1989) and Reichlin (1989) on the dangers of unit root testing in models with structural change.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 1 (1994)
Issue (Month): 3 ()
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- David Grreasley, 2010.
"Cliometrics and Time Series Econometrics: Some Theory and Applications,"
Working Papers in Economics
10/56, University of Canterbury, Department of Economics and Finance.
- David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
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