Multiple Structural Breaks in Australia's Macroeconomic Data: An Application of the Lumsdaine and Papell Test
AbstractThis paper employs all available annual time series data to endogenously determine the timing of structural breaks for 10 macroeconomic variables in the Australian economy. The ADF (Augmented Dickey and Fuller) test and the LP (Lumsdaine and Papell, 1997) test are used to examine the time series properties of the data. The ADF test results provide no evidence against the unit root null hypothesis in all ten macroeconomic variables. After accounting for the two most significant structural breaks in the data impacting on both the intercept and trend, the results from the LP test indicate that the null of at least one unit root is rejected for four of the variables under investigation at the 10 per cent level or better. We also found that t he dates of structural breaks in most cases point to: (a) the oil/wages shock occurring in the 1973-1975 period, (b) the 1990-1991 recession; (c) the culmination of financial deregulation and innovation in the late 1980s; and (d) the 1997 Asian crisis.
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Bibliographic InfoPaper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp05-17.
Length: 9 pages
Date of creation: 2005
Date of revision:
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Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
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Web page: http://business.uow.edu.au/econ/index.html
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Unit roots Hypothesis; structural breaks; Australian economy;
Other versions of this item:
- VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M., 2005. "Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 31-44.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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