Structural Changes in the Iranian Economy: An Empirical Analysis with Endogenously Determined Breaks

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Structural Changes in the Iranian Economy: An Empirical Analysis with Endogenously Determined Breaks

Author Info

Pahlavani, Mosayeb (University of Wollongong)
Wilson, Ed () (University of Wollongong)
Valadkhani, Abbas () (University of Wollongong)

Abstract

This paper employs annual time series data (1960-2003) and the ZA (Zivot and Andrews, 1992) and the LP (Lumsdaine and Papell, 1997) approaches to determine endogenously the more likely time of major structural breaks in various macroeconomic variables of the Iranian economy. We have considered the presence of one and two unknown structural breaks in the data. The results obtained from these two approaches are consistent in that the time of one structural break in eight out of the ten variables examined in the paper is the same. The resulting structural breaks coincide with important phenomena in the economy such as the 1974 oil shock, the 1979 Islamic revolution, the Iraqi war or the implementation of the exchange rate unification policy in 1993 in the case of the official exchange rate.

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Publisher Info
Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp05-05.

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Length: 10 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:uow:depec1:wp05-05

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Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
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Web page: http://www.uow.edu.au/commerce/econ/
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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-09-11 (All new papers)
NEP-CWA-2005-09-11 (Central & Western Asia)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Pesaran, H., 1995. "Planning and Macroeconomic Stabilization in Iran," Cambridge Working Papers in Economics 9508, Faculty of Economics, University of Cambridge.
Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions:
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May. [Downloadable!] (restricted)
Stephen J. Leybourne & Paul Newbold, 2003. "Spurious rejections by cointegration tests induced by structural breaks," Applied Economics, Taylor and Francis Journals, vol. 35(9), pages 1117-1121, January. [Downloadable!] (restricted)
Bahmani-Oskooee, Mohsen, 1993. "Black Market Exchange Rates versus Official Exchange Rates in Testing Purchasing Power Parity: An Examination of the Iranian Rial," Applied Economics, Taylor and Francis Journals, vol. 25(4), pages 465-72, April.
Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
Other versions:
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
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, vol. 10(3), pages 251-70, July.
Other versions:
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation, Yale University. [Downloadable!]
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October. [Downloadable!] (restricted)
Other versions:
- Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 1998. "Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," NBER Working Papers 6397, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Ben-David, D. & Lumsdaine, L.R. & Papell, D.H., 1996. "Unit Roots Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," Papers 33-96, Tel Aviv.
- Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 2003. "Unit roots, postwar slowdowns and long-run growth: Evidence from two structural breaks," Empirical Economics, Springer, vol. 28(2), pages 303-319, 04. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Jayanthakumaran, Kankesu & Lee, Shao-Wei, 2007. "An initial push for successful transition from import substitution to export-orientation in Taiwan and China: The FDI-led hypothesis," Economics Working Papers wp07-03, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]

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