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Datation des changements structurels au sein d’une chronique : le cas des séries macroéconomiques marocaines
[Dating structural changes in time series : the case of the Moroccan macroeconomic series]

Author

Listed:
  • EL BOUHADI, Hamid
  • OUAHID, Driss

Abstract

Over the past four decades, many events and economic and extra-economic changes questioned the relevance and validity of structural econometric models. Currently, all models are developed for a stationary process. However, this hypothesis is not usually verified. This article attempts to implement some unit root tests both in classical and modern ways. In particular, we will base our application on the tests with structural breaks time. Our investigation sample is composed about several Moroccan macroeconomic variables, namely real GDP, inflation rate, etc. Most of results of these implementation tests reveal us that all the series have undergone at least two breaks (two structural changes) at the time. The stationary is confirmed around a segmented trend, in case when that makes the reviewing the all standard stationary tests findings.

Suggested Citation

  • EL BOUHADI, Hamid & OUAHID, Driss, 2014. "Datation des changements structurels au sein d’une chronique : le cas des séries macroéconomiques marocaines [Dating structural changes in time series : the case of the Moroccan macroeconomic serie," MPRA Paper 68168, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68168
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Unit root; change in regime of series; stationary; Moroccan macroeconomic variables.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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