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Stationarity Test for Aggregate Outputs in the Presence of Structural Breaks

Author

Listed:
  • D.K. Srivastava

    (Madras School of Economics)

  • K.R. Shanmugam

    (Madras School of Economics)

Abstract

This study tests for the stationarity of aggregate output (GDP at factor cost) and its three major components, namely GDP agriculture, GDP industry and GDP services in the presence of structural breaks during 1950-51 to 2011-12. Results indicate that (i) the GDP has three break points; (ii) GDP agriculture contains one while the GDP industry and GDP services contain four breaks each; and (iii) all variables are trends stationary with one or more structural breaks. Our alternative test, which tests the null of unit root for the study variables after removing the effects of trend and structural breaks, also confirms that the aggregate output variables are trend stationary with structural breaks. We also compare the identified structural break dates with earlier studies.

Suggested Citation

  • D.K. Srivastava & K.R. Shanmugam, 2012. "Stationarity Test for Aggregate Outputs in the Presence of Structural Breaks," Working Papers 2012-072, Madras School of Economics,Chennai,India.
    • Handle: RePEc:mad:wpaper:2012-072
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    References listed on IDEAS

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    More about this item

    Keywords

    Structural breaks; Indian economy; Time series; Stationarity test;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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